This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR … prove patterns of relation between risk and liquidity, both in individual stock levels and portfolios. This study also …

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 …

deterioration of market liquidity (market depth). However, the work by Acerbi and Scandolo (Quantitative Finance, 2008, 8(7), 681 …) highlighted, in addition, the key role that the liquidity policies of the fund can have on the fund value. Funds with the … identical positions but differing liquidity policies have different values. In this paper, we describe and analyze, the …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management … the liquidity risk arising from the buying and selling of a position. With the use of BLM we show, how to integrate … liquidity risk into the VaR-framework. While our method has already been introduced, it has never been tested on the Hungarian …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

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 …

measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly … liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation … results of this study indicate that the application of a liquidity constraint in the VaR model provides more accurate …