Add to ORKGMost existing portfolio choice models ignore the prevalent periodic market closure and the fact that market volatility is significantly higher during trading periods. We find that market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, we numerically demonstrate that transaction costs can have a first order effect on liquidity premia that is largely comparable to empirical findings. Moreover, this effect on liquidity premia increases in the volatility difference, which is supported by our empirical analysis
The recent financial crisis highlights the importance of market crashes and the subsequent market il...
We study the infinite horizon model of household portfolio choice under liquidity constraints and re...
I investigate the relationship between liquidity and market efficiency using data from one-day horiz...
Most existing portfolio choice models ignore the prevalent periodic market closure and the fact that...
Standard literature concludes that transaction costs only have a second‐order effect on liquidity pr...
This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio...
This paper studies the role of preopening periods in financial markets. Because no transaction occur...
open the window after closing a door Investors can incur in substantial losses if they cannot trade ...
Nous estimons des décisions de choix de portefeuille en fonction de mesures de liquidité à l'aide de...
This paper studies the role of preopening periods in liquidity formation and welfare in financial ma...
This paper studies portfolio choice and pricing in markets in which immediate trading may be impossi...
We use data on actual holding periods for all investors in a stock market over a 10 year period to i...
We revisit the liquidity-volatility relationship by considering the information content of price ran...
This paper generalizes Deaton's (1991) approach to saving under borrowing constraints to incorporate...
We empirically examine the impact of trading activities on the liquidity of individual equity option...
The recent financial crisis highlights the importance of market crashes and the subsequent market il...
We study the infinite horizon model of household portfolio choice under liquidity constraints and re...
I investigate the relationship between liquidity and market efficiency using data from one-day horiz...
Most existing portfolio choice models ignore the prevalent periodic market closure and the fact that...
Standard literature concludes that transaction costs only have a second‐order effect on liquidity pr...
This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio...
This paper studies the role of preopening periods in financial markets. Because no transaction occur...
open the window after closing a door Investors can incur in substantial losses if they cannot trade ...
Nous estimons des décisions de choix de portefeuille en fonction de mesures de liquidité à l'aide de...
This paper studies the role of preopening periods in liquidity formation and welfare in financial ma...
This paper studies portfolio choice and pricing in markets in which immediate trading may be impossi...
We use data on actual holding periods for all investors in a stock market over a 10 year period to i...
We revisit the liquidity-volatility relationship by considering the information content of price ran...
This paper generalizes Deaton's (1991) approach to saving under borrowing constraints to incorporate...
We empirically examine the impact of trading activities on the liquidity of individual equity option...
The recent financial crisis highlights the importance of market crashes and the subsequent market il...
We study the infinite horizon model of household portfolio choice under liquidity constraints and re...
I investigate the relationship between liquidity and market efficiency using data from one-day horiz...