municipal bond market and carry lasting impacts. During the crisis, trading activities surge while dealers' liquidity provision … greater mutual fund exposures. Such post-crisis pricing effects reflect dealers' continued reluctance to provide liquidity for …

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and … funding liquidity risk. We demonstrate that funding liquidity risk is an important determinant of hedge fund performance …. Hedge funds with high loadings on the funding liquidity factor underperform low-loading funds by about 2.47% (11 …

This paper identifies managerial ability by looking at extreme liquidity events. Forced trades by distressed funds … are able to consistently identify and purchase these fire-sale stocks and that they benefit from providing liquidity to …

market by providing liquidity to investors that demand immediacy, while others systematically realize costs of immediacy. On … average, the mutual funds' costs of immediacy exceed their returns from providing liquidity. The funds with outflows, flows …

We study liquidity transformation in mutual funds using a novel data set on their cash holdings To provide investors … with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically … underlying portfolio assets. This is particularly true for funds with illiquid assets and at times of low market liquidity. We …

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … funds and investors just break even, equilibrium liquidity premia are defined as the risk-adjusted excess returns that fund …

of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds … that is missing from the standard Sharpe Ratio formulation. We refer to our liquidity-risk-adjusted performance ratio as … the LRAPR. The results of our analysis of 1186 hedge funds alive in 2012-2020 show that funds with higher liquidity risk …

Some financial supervisors worry that liquidity transformation within the “shadow banking” sector might threaten … financial stability. For example, a mutual fund promising overnight liquidity based on illiquid assets (such as corporate bonds … results provide further information about how various types of bond mutual funds handle liquidity demands …