been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures … basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing … four alternative measures of liquidity we first find strong evidence of commonality in liquidity across stocks. We apply … asymptotic principal component analysis (PCA) on the sample of stocks to extract market or systematic liquidity factors. Previous …

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar …-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging … Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction …

that destroy the optimality of two-fund separation in economies with a one-period bond and result in different equilibrium …This paper examines the two-fund separation paradigm in the context of an infinite-horizon general equilibrium model … a consol then agents' portfolios exhibit two-fund separation. However, if agents can trade only a one-period bond, this …

We investigate whether increasing the speed of order execution affects investor trading strategy and market liquidity …

construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …

) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U … findings improve our understanding of the trading costs and liquidity in the over-the-counter derivatives market …

-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …

German corporate bond funds by merging data on asset liquidity with information on fund ownership. First, conditional on …Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship …