This paper examines the relation between the performance of small-cap equity mutual funds and the liquidity characteristics of their asset holdings. We study the trading behavior of fund managers and show that on average, they tend to buy less liquid stocks and sell the more liquid stocks. We...

This paper introduces a theoretical liquidity risk model to explain how the fire-sale price happens by banks' portfolio composition and the liquidity shocks. The model illustrates that the derivatives can serves as Arrow-Debreu securities for banks to share and eliminate the liquidity risks. The...

sing the weekly U.S. banks' balance sheet from 1975:Q1 to 2010:Q2, this paper shows that the cause to housing bubble is the credit shift from defensive liquidity assets to mortgages, rather than the non-existing 'easy credit'. The finding inspires a new systematic explanation to the recent bank...

This paper introduces LLSS ratio as a new bank liquidity measurement. The new measurement reveals banks' ability to roll over long term loans on short term savings. Such ability is determined by both banks' liquid/illiquid asset allocation and the interbank market environment. I use ABCP and MBS...

We examine whether the increase in the flow of capital to hedge funds over the period 1994-2005 had a negative impact on performance. More specifically, we study the relative performance of small versus large funds for each of the hedge fund strategies. Our results indicate that on an absolute...

We examine whether the increase in the flow of capital to hedge funds over the period 1994-2005 had a negative impact on performance. More specifically, we study the relative performance of small versus large funds for each of the hedge fund strategies. Our results indicate that on an absolute...