Add to ORKGRecent empirical work documents large liquidity risk premiums in stock markets. We calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRRA utility and a time-varying investment opportunity set. We find that, even with high trading-cost rates and substantial trading motives, the theoretically demanded liquidity risk premium is negligible, less than 3 basis points per year. Assuming forced selling during market downturn enlarges the liquidity risk premium to maximally 20 basis points per year, which is well below existing empirical estimates of the liquidity risk premium
This paper studies equilibrium asset pricing with liquidity risk | the risk arising from unpredictab...
textIn the finance context, the term "liquidity" is usually associated either with "liquidity prefer...
This paper develops a present-value framework that factors in expectations of future market illiquid...
Recent empirical work documents large liquidity risk premiums in stock markets. We calculate the liq...
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the...
We investigate whether investors receive compensation for holding stocks with strong systematic liqu...
While there is no equilibrium framework for defining liquidity risk per se, several plausible argume...
This paper studies whether stock returns' sensitivities to aggregate liquidity fluctuations and the ...
In this paper we perform a literature study to assess whether large long-term investors can benefit ...
This paper constructs a measure of pervasive liquidity risk and its associated risk premium. I exami...
The three chapters in this dissertation examine issues related to liquidity and asset pricing. In...
It is well established that investors price market liquidity risk. Yet, there exists no financial cl...
The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk...
This paper studies equilibrium asset pricing with liquidity risk the risk arising from unpredictabl...
We investigate if liquidity risk is priced in the market from a macroeconomic perspective. We perfor...
This paper studies equilibrium asset pricing with liquidity risk | the risk arising from unpredictab...
textIn the finance context, the term "liquidity" is usually associated either with "liquidity prefer...
This paper develops a present-value framework that factors in expectations of future market illiquid...
Recent empirical work documents large liquidity risk premiums in stock markets. We calculate the liq...
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the...
We investigate whether investors receive compensation for holding stocks with strong systematic liqu...
While there is no equilibrium framework for defining liquidity risk per se, several plausible argume...
This paper studies whether stock returns' sensitivities to aggregate liquidity fluctuations and the ...
In this paper we perform a literature study to assess whether large long-term investors can benefit ...
This paper constructs a measure of pervasive liquidity risk and its associated risk premium. I exami...
The three chapters in this dissertation examine issues related to liquidity and asset pricing. In...
It is well established that investors price market liquidity risk. Yet, there exists no financial cl...
The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk...
This paper studies equilibrium asset pricing with liquidity risk the risk arising from unpredictabl...
We investigate if liquidity risk is priced in the market from a macroeconomic perspective. We perfor...
This paper studies equilibrium asset pricing with liquidity risk | the risk arising from unpredictab...
textIn the finance context, the term "liquidity" is usually associated either with "liquidity prefer...
This paper develops a present-value framework that factors in expectations of future market illiquid...