Search Results - "Liquidity"

A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification by Li, Bo, Zhang, Ranran

“…, return, risk, liquidity and diversification degree of portfolio. In our model, the investment return is quantified by uncertain expected value, the investment risk…”
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Bank liquidity provision across the firm size distribution by Chodorow-Reich, Gabriel, Darmouni, Olivier, Luck, Stephan, Plosser, Matthew

“… Using the COVID recession, we test the prediction that SMEs are subject to greater lender discretion…”
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The dark side of liquidity regulation: Bank opacity and funding liquidity risk by Raz, Arisyi F., McGowan, Danny, Zhao, Tianshu

“… Banks subject to the rule become significantly more opaque and funding liquidity risk increases…”
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To what extent does corporate liquidity affect M&A decisions, method of payment and performance? Evidence from China by Yang, Junhong, Guariglia, Alessandra, Guo, Jie (Michael)

“…Using a panel of Chinese listed firms over the period 1998–2015, we examine the extent to which liquidity impacts firms' acquisition decisions, method of payment choice, and performance following mergers…”
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Liquidity regulation and banks: Theory and evidence by Sundaresan, Suresh, Xiao, Kairong

“… However, the mandated liquidity buffer appears to crowd out bank lending and lead to a migration of liquidity risks to banks that are not subject to liquidity regulation…”
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The “make or take” decision in an electronic market: Evidence on the evolution of liquidity by Bloomfield, Robert, O’Hara, Maureen, Saar, Gideon

“…This paper uses experimental asset markets to investigate the evolution of liquidity in an electronic limit order market…”
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Skilled active liquidity management: Evidence from shocks to fund flows by Rzeźnik, Aleksandra

“… I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows…”
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Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance by AGARWAL, VIKAS, MULLALLY, KEVIN A., TANG, YUEHUA, YANG, BAOZHONG

“… Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change…”
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Measuring systemic risk-adjusted liquidity (SRL)—A model approach by Jobst, Andreas A.

“…Little progress has been made so far in addressing—in a comprehensive way—the negative externalities caused by excessive maturity transformation and the implications for effective liquidity regulation of banks…”
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Analysis of Jurisprudential Thematology Approaches through a Case Study of Liquidity of Transactional Issues by morteza fakharshakeri, Mohammad Taghi Fakhlaei, Seyed Mohammad Taghi Ghabooli Dorafshan

“… Despite the fact that the customary nature of the matter is a maximum agreed subject, but the views in identifying how to arbitrate the custom have been varied and this difference has led…”
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Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data by Stenfors, Alexis, Susai, Masayuki

“…•Order-splitting strategies appear successful but could be detrimental to the market.•A ‘liquidity illusion’ seems to exist in the electronic FX spot market…”
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On Ramsey’s Conjecture in Continuous-Time Economic Growth Model with Limited Capital Liquidity by Parastaev, G. S.

“… The generalization consists in introducing the parameter which characterizes the liquidity of capital and setting discount rates in endogenous way, namely as functions dependent on ratio…”
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The impact of CBDC adoption on bank liquidity risk: evidence from the global banking sector by Nguyen, Dinh Trung, Nguyen, Minh Ngoc, Duong, Kim Thanh

“… Using a sample of 804 listed commercial banks from 47 countries during the 2010-2021 period, we find that further stages of CBDC adoption subject banks to greater liquidity risk as indicated…”
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Liquidity Crises and the Market‐Maker of Last Resort by KAHN, CHARLES M., MARSHALL, DAVID, MCDONALD, ROBERT L.

“…We study market illiquidity in an economy subject to nonfundamental shocks. Asset trading occurs via decentralized bargaining…”
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Board diversity, female executives and stock liquidity: evidence from opposing cycles in the USA by Shahrour, Mohamad H., Lemand, Ryan, Wojewodzki, Michal

“…Purpose This study aims to address gaps and limitations in the literature on corporate governance and stock liquidity…”
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Liquidity risks on power exchanges: a generalized Nash equilibrium model by de Maere d’Aertrycke, Gauthier, Smeers, Yves

“… This paper assesses the effect of limited liquidity in power exchanges using an equilibrium model where agents cannot hedge up to their desired level…”
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The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach by Min, Xiaoping, Ji, Min

“… Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure…”
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Bank liquidity, the maturity ladder, and regulation by de Haan, Leo, van den End, Jan Willem

“…•We investigate liquidity behaviour of banks subject to Basel III-type regulation…”
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Lobbying and liquidity requirements: Large versus small banks by Shy, Oz, Stenbacka, Rune

“…We design a model with banks of unequal size operating subject to liquidity requirements in an imperfectly-competitive deposit market…”
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Liquidity regulations, bank lending and fire-sale risk by Roberts, Daniel, Sarkar, Asani, Shachar, Or

“…We examine whether U.S. banks subject to the Liquidity Coverage Ratio (LCR) reduce lending (an unintended consequence…”
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