equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage … make bubbles a necessary condition for the existence of an equilibrium …

. Such outcomes arise in a competitive equilibrium in which portfolio choices of active managers partially echo those of …

This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who …

This paper derives an equilibrium asset pricing model with liquidity risk. Liquidity risk is modeled as a stochastic …, we prove that an equilibrium price process exists for our economy and we characterize the market's state price density …, which enables the derivation of the risk-return relation for the stock's expected return including liquidity risk. In …

segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on … depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore …

Investors' holding periods determine how transaction costs are amortized and priced as liquidity premium in asset … liquidity clienteles investors with longer holding periods choose to hold less liquid securities in their portfolios. The …

Strategy does the worst. The superior performance of the liquidity strategies are due to equilibrium, macro, and micro reasons …. In equilibrium, liquid stocks sell at a liquidity premium and illiquid stocks sell at a liquidity discount. Investing in …We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant …

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using … pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …