Search Results

Is there an illiquidity premium in frontier markets?,
Szymon Stereńczak, Adam Zaremba and Zaghum Umar, in Emerging Markets Review (2020)
Keywords: Illiquidity premium; Liquidity; Frontier stock markets; Asset pricing; The cross-section of returns;

Illusory Nature of Pricing of Illiquidity Effect: The Test Case of Australian Stock Market,
Ihsan Badshah, in Journal of Finance and Economics Research (2017)
Keywords: Asset pricing, Australian stock market, Illiquidity Premium, Illiquidity measures

On option pricing in illiquid markets with random jumps,
Youssef El-Khatib and Abdulnasser Hatemi-J, from University Library of Munich, Germany (2013)
Keywords: Options pricing, illiquid markets, jump diffusion, incomplete markets.

Risk, illiquidity or marketability: What matters for the discounts on private equity placements?,
Linda H. Chen, Edward A. Dyl, George J. Jiang and Januj A. Juneja, in Journal of Banking & Finance (2015)
Keywords: Private equity placement; Discount; Risk; Illiquidity; Marketability;

DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET,
Harald Kinateder, Robert Bauer and Niklas F. Wagner, in Bulletin of Monetary Economics and Banking (2020)
Keywords: ASEAN-5 countries; Arbitrage capital; Illiquidity; Noise measure; Sovereign bond markets

How to Measure Illiquidity on European Emerging Stock Markets?,
Vidović Jelena, Poklepović Tea and Aljinović Zdravka, in Business Systems Research (2014)
Keywords: illiquidity measures, emerging markets, Relative Change in Volume-RCV

Optimal liquidation problem in illiquid markets,
Amirhossein Sadoghi and Jan Vecer, in European Journal of Operational Research (2022)
Keywords: Finance; Optimal liquidation problem; Illiquid market; Markov-modulated poisson process; Hawkes processes;

Optimal liquidation problem in illiquid markets,
Amirhossein Sadoghi and Jan Vecer, from HAL (2022)
Keywords: Finance,Optimal liquidation problem,Illiquid market,Markov-modulated poisson process,Hawkes processes

Optimal consumption policies in illiquid markets,
Alessandra Cretarola, Fausto Gozzi, Huyên Pham and Peter Tankov, from HAL (2008)
Keywords: Illiquid market,optimal consumption,integrodifferential equations,viscosity solutions,semiconcavity,sub(super) differentials,optimal control

determinants of Illiquidity on emerging stock markets,
Prince Dubois HIKOUATCHA Kenfack, in Journal of Academic Finance (2018)
Keywords: determinants, illiquidity, JSE, NSE, emerging stock market, déterminants, illiquidité, JSE, NSE, marché boursier émergent

Market Illiquidity Premium on Stock Returns: An Empirical Study of Taiwan Stock Markets,
Chia-Cheng Chen, Chia-Li Tai and Yi-Chun Cho, in Asian Economic and Financial Review (2019)
Keywords: Asset pricing, Illiquidity, Illiquidity premium, Five-factor model, Portfolio analysis, Emerging market.

Optimal consumption policies in illiquid markets,
Alessandra Cretarola, Fausto Gozzi, Huyên Pham and Peter Tankov, in Finance and Stochastics (2011)
Keywords: Illiquid market, Optimal consumption, Integrodifferential equations, Viscosity solutions, Semiconcavity, Sub/superdifferentials, Optimal control, 49K22, 49L25, 35F20, 91B28, G11,

A Note on fair Value and Illiquid Markets,
Dominique Guegan and Chafic Merhy, from HAL (2010)
Keywords: Fair value,illiquid market,Kalman filter,Mark to model.,"fair value",marchés illiquides,filtrage de Kalman,"Mark to model".

A Note on fair Value and Illiquid Markets,
Dominique Guegan and Chafic Merhy, from HAL (2010)
Keywords: Fair value,illiquid market,Kalman filter,Mark to model.,"fair value",marchés illiquides,filtrage de Kalman,"Mark to model".

Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility*,
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli, in Journal of Financial Econometrics (2024)
Keywords: illiquidity, market microstructure, score-driven models, volatility estimation

Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility,
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli, from Tor Vergata University, CEIS (2021)
Keywords: Market microstructure; Illiquidity; Volatility estimation; Score-driven models

The illiquidity premium: International evidence,
Yakov Amihud, Allaudeen Hameed, Wenjin Kang and Huiping Zhang, in Journal of Financial Economics (2015)
Keywords: G12; G15; F37; Illiquidity premium; International markets; Commonality in illiquidity premium;

YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET: FRAMEWORK, MODELS AND EMPIRICAL STUDY,
Chi Xie, Hui Chen and Xiang Yu, in International Journal of Information Technology & Decision Making (IJITDM) (2006)
Keywords: Illiquid market, yield curve of the government bond, curve fitting

The effect of additional guidance on fair value measurement and disclosure in illiquid or inactive markets,
Mariah Webinger, Matt Comer and Robert Bloom, in Research in Accounting Regulation (2013)
Keywords: Fair value accounting; Disclosure requirements; Illiquid markets; FSP 157;

A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets,
Rafael Company, Lucas Jódar and José-Ramón Pintos, in Mathematics and Computers in Simulation (MATCOM) (2012)
Keywords: Nonlinear Numerical Analysis; Simulation; Option Pricing; Illiquid Markets;

Extreme illiquidity and stock returns: Evidence from Thailand market,
Xi Chen, Junbo Wang, Yanchu Wang and Xiaoling Zhong, in Pacific-Basin Finance Journal (2023)
Keywords: Extreme illiquidity; Financial crisis; Tail risk; Thailand stock markets;

Is illiquidity risk priced? The case of the Polish medium-size emerging stock market,
Joanna Olbry�, in Bank i Kredyt (2014)
Keywords: asset pricing, illiquidity risk, commonality in liquidity, LCAPM, Polish stock market

The Impact of Stock Market Illiquidity on Real UK GDP Growth,
Chris Florakis, Gianluigi Giorgioni, Alexandros Kostakis and Costas Milas, from Rimini Centre for Economic Analysis (2012)
Keywords: stock market illiquidity, divisia money, GDP growth, non-linear model

Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers,
Andreas Andrikopoulos, Timotheos Angelidis and Vasiliki Skintzi, in International Review of Financial Analysis (2014)
Keywords: Illiquidity spillovers; Return spillovers; Volatility spillovers; VAR; G7 stock markets;

Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers,
Andreas Andrikopoulos, Timotheos Angelidis and Vasiliki Skintzi, from University Library of Munich, Germany (2012)
Keywords: Illiquidity spillovers; return spillovers; volatility spillovers; VAR; G7 stock markets

Robust numerical algorithm to the European option with illiquid markets,
D. Ahmadian, O. Farkhondeh Rouz, K. Ivaz and A. Safdari-Vaighani, in Applied Mathematics and Computation (2020)
Keywords: European call option; Illiquid markets; Newton’s method; Kantorovich theorem; Positivity;

De-Leverage and illiquidity contagion,
Conghui Hu, Yu-Jane Liu and Ning Zhu, in Journal of Banking & Finance (2019)
Keywords: Leverage; Illiquidity spillover; Market crash; Intraday; China;

Arbitrage and deflators in illiquid markets,
Teemu Pennanen, in Finance and Stochastics (2011)
Keywords: Illiquidity, Portfolio constraints, Claim processes, Arbitrage, Deflators, 91B25, 52A07, 46A20, C60, G10,

On stock market illiquidity and real-time GDP growth,
Chris Florackis, Gianluigi Giorgioni, Alexandros Kostakis and Costas Milas, in Journal of International Money and Finance (2014)
Keywords: G12; C32; C51; C52; Stock market illiquidity; Divisia money; GDP growth; Non-linear model; Real-time data;

On the compensation for illiquidity in sovereign credit markets,
Juan Angel Lafuente and Pedro Serrano, in Journal of Multinational Financial Management (2015)
Keywords: Credit default swap; Illiquidity; Default; Risk premium;

Unfair “Fair Value” in Illiquid Markets: Information Spillover Effects in Times of Crisis,
Alex Dontoh, Fayez A. Elayan, Joshua Ronen and Tavy Ronen, in Management Science (2021)
Keywords: asset write-downs, fair value accounting, mark-to-market accounting, financial crisis, market illiquidity, information transfer

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data,
Mousumi Bhattacharya, Sharad Bhattacharya and Sumit Kumar Jha, in Australian Journal of Management (2022)
Keywords: Asset pricing; illiquidity; liquidity; quantile regression; seasonality; stock market

Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: the Case of Private Commercial Real Estate,
David Ling, Gianluca Marcato and Pat McAllister, in The Journal of Real Estate Finance and Economics (2009)
Keywords: Asset pricing, Illiquidity, Transaction activity, Private real estate markets,

A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market,
Fatma Chakroun and Fathi Abid, in Journal of Emerging Market Finance (2014)
Keywords: Illiquid market; interest rate yield curve; cubic spline; Vasicek (1977) model; CIR (1985) model; OLS; MLE

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets,
Alexander Schied and Torsten Schoeneborn, from University Library of Munich, Germany (2008)
Keywords: Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK,
Michael Ellington, in Journal of Banking & Finance (2018)
Keywords: Stock market illiquidity; Time-varying parameter VAR; Macro-financial linkages; Sign restrictions;

Option pricing in the illiquid markets under the mixed fractional Brownian motion model,
Pengcheng Ma, Mehran Taghipour and Carlo Cattani, in Chaos, Solitons & Fractals (2024)
Keywords: Spectral method; Illiquid markets; Convergence; Option pricing; Long memory financial model; Fractional Brownian motion;

Options illiquidity in an over-the-counter market,
Jungkyu Ahn, in International Review of Financial Analysis (2024)
Keywords: Illiquidity; Currency options; Sequential search; Bilateral bargaining; Outside options;

Illiquidity Premia in the Equity Options Market,
Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: illiquidity; equity options; cross-section; option returns; option smile.

Illiquidity Premia in the Equity Options Market,
Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui, from Department of Economics and Business Economics, Aarhus University (2013)
Keywords: illiquidity, equity options, cross-section, option returns, option smile

Illiquidity and Under-Valuation of Firms,
Douglas Gale and Piero Gottardi, from CESifo (2009)
Keywords: illiquid markets, default, incomplete markets, price distortions, inefficient investment

Illiquidity and Under-Valuation of Firms,
Douglas Gale and Piero Gottardi, from Department of Economics, University of Venice "Ca' Foscari" (2008)
Keywords: illiquid markets, default, incomplete markets, price distortions, inefficient investment

Illiquidity and Under-Valuation of Firms,
Douglas Gale and Piero Gottardi, from European University Institute (2009)
Keywords: illiquid markets, default, incomplete markets, price distortions, inefficient investment

Funding Liquidity and Stocks’ Market Liquidity: Structural Estimation From High-Frequency Data,
Gian Piero Aielli and Davide Pirino, from Tor Vergata University, CEIS (2023)
Keywords: funding illiquidity, market illiquidity, structural estimation, marketmicrostructure.

Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches,
Kais Tissaoui, Besma Hkiri, Mariem Talbi, Waleed Alghassab and Khaled Issa Alfreahat, in The North American Journal of Economics and Finance (2021)
Keywords: Market illiquidity; Market volatility; COVID-19 outbreak; Wavelet coherence approaches; ARDL bound test; Saudi Stock Market;

Illiquidity and derivative valuation,
Ulrich Horst and Felix Naujokat, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
Keywords: Stochastic differential games, illiquidity, market impact, derivative valuation

Monetary Policy in Illiquid Markets: Options for a Small Open Economy,
Edda Claus, Mardi Dungey and Renee Fry-McKibbin, in Open Economies Review (2008)
Keywords: Monetary policy alternatives, Illiquid markets, Liquidity trap, Zero bound interest rates, Latent factors, Structural VAR, E52, C51,

Trading Volume, Illiquidity and Commonalities in FX Markets,
Angelo Ranaldo and Paolo Santucci de Magistris, from University of St. Gallen, School of Finance (2019)
Keywords: FX Trading Volume, Volatility, Illiquidity, Commonalities, Arbitrage

ILLIX - A New Index for Quantifying Illiquidity,
Tim Friederich, Carolin Kraus and Rudi Zagst, in Journal of Financial Transformation (2012)
Keywords: Liquidity; Illiquidity; Financial Markets; Risk Management; Market Efficiency

Sequential entry in illiquid markets,
Vincent Fardeau, in Journal of Financial Markets (2023)
Keywords: Sequential entry; Thin markets; Price impact; Market depth; Strategic arbitrage;

The Illiquidity of Water Markets,
Javier Donna and Jose Espin-Sanchez, from University Library of Munich, Germany (2014)
Keywords: Organization of Production, Institutions, Financial Markets, Market Efficiency, Water

The Illiquidity of Water Markets,
Javier Donna and Jose-A. Espin-Sanchez, from University Library of Munich, Germany (2021)
Keywords: Market Efficiency, Dynamic Demand, Auctions, Quotas, Vertical Integration, Financial Markets

The Illiquidity of Water Markets,
Javier Donna and Jose Espin Sanchez, from University Library of Munich, Germany (2014)
Keywords: Market Efficiency, Dynamic Demand, Auctions, Quotas, Vertical Integration, Financial Markets.

Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets,
Ewa Dziwok and Marta A. Karaś, in Risks (2021)
Keywords: systemic risk; systemic illiquidity; liquidity crisis; parametric models; quantitative methods; emerging markets; frontier markets; CEE

Market-wide illiquidity and the distribution of non-parametric stochastic discount factors,
David Abad, Belén Nieto, Roberto Pascual and Gonzalo Rubio, in International Review of Financial Analysis (2023)
Keywords: Market-wide illiquidity; Non-parametric stochastic discount factor; Volatility, skewness, and kurtosis of the model-free stochastic discount factor, market realized volatility; High dimensional data estimation;

Stock extreme illiquidity and the cost of capital,
Mohamed Belkhir, Mohsen Saad and Anis Samet, in Journal of Banking & Finance (2020)
Keywords: Liquidity; Extreme illiquidity; Cost of capital; Market conditions; Institutions;

INVESTIGATION OF STOCK ILLIQUIDITY ON CENTRAL AND SOUTH EAST EUROPEAN MARKETS IN NAÃ VE PORTFOLIO FRAMEWORK,
Jelena Vidovic, in Economic Thought and Practice (2013)
Keywords: emerging markets, illiquidity premium, stock returns, ILLIQ, Central and South East Europe

Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model,
Chiara Benazzoli, Luciano Campi and Luca Di Persio, in Stochastic Processes and their Applications (2020)
Keywords: Mean field games; Jump measures; Controlled martingale problem; Relaxed controls; Martingale measure; Illiquid interbank market model;

Stock market illiquidity, bargaining power and the cost of borrowing,
Jiayuan Chen, Di Gong and Cal Muckley, in Journal of Empirical Finance (2020)
Keywords: Stock illiquidity; Bargaining power; Cost of borrowing; Price informativeness; Governance;

Market illiquidity and bounds on European option prices,
João Amaro de Matos and Paula Antao, in The European Journal of Finance (2003)
Keywords: illiquidity, stock, dividends, European options, price bounds, smile effect,

PARAMETRIC YIELD CURVE MODELING IN AN ILLIQUID AND UNDEVELOPED FINANCIAL MARKET,
Davor Zoričić and Silvije Orsag, in UTMS Journal of Economics (2013)
Keywords: parametric yield curve models; illiquidity

Market liquidity - theory and empirical evidence,
Dimitri Vayanos and Jiang Wang, from London School of Economics and Political Science, LSE Library (2012)
Keywords: market liquidity; market imperfections; illiquidity measures; illiquidity and expected returns

Market Liquidity - Theory and Empirical Evidence,
Dimitri Vayanos and Jiang Wang, from Financial Markets Group (2012)
Keywords: market liquidity, market imperfections, illiquidity measures, illiquidity and expected returns

Market Illiquidity and the Bank Lending Channel,
Sergio Sanfilippo-Azofra, María Cantero-Saiz and Begoña Torre-Olmo, from World Scientific Publishing Co. Pte. Ltd. (2024)
Keywords: Bank capital, Capital Buffers, Financial Stability, Macroprudential Regulation, Systemic Risks, Accounting Standards, Bank Stability, Financial Reporting, Local GAAP, IAS/IFRS, Lending Risk, Bank Capitalization, Bank Risk-Taking, Credit Risk, Asian Banks, Stability, Financial Development, Banking System, Growth, Regression, Human Resources, Trade: Population, Emerging Economies, Human Capital, Financial Stability, Intellectual Capital Efficiency, Human Capital Efficiency, Structural Capital Efficiency, Relational Capital Efficiency, Resources Based Theory, System Generalize Method of Moments, Competitive Environment, Islamic Banks, Asian Countries, Banking, Regulatory Capital, Bank Performance, Basel Accord, Profitability, Risk, Minimal Capital Requirements, Political Instability, Bank Supervision, 2SLS, Financial Institutions, Bank Holding Companies, Great Recession: FDIC, Financial Markets, Financial Crises, Economic Recessions, Heterogeneity, Systemic Risk, Dodd Frank, Foreign Exchange, Systemic Risk, Turkish Banking Sector, Volatility, Foreign Loans, Domestic Loans, Total Assets, Total Credits, Total Deposits, Interest Rates, Financial Crisis, Risk Management, Competency Development, Banks, Integrated, Resilience, Uncertainty, Pandemic, Risk, Actionable, Financial Stability, Systemic Risk, Crisis Management, Bank Recovery and Resolution, Capital Requirements, Climate Physical Risk, Climate Transition Risk, Digital Finance, Safety Net, Twin Transition, Market Illiquidity, Monetary Policy, Bank Lending Channel, Banks, Shocks, Loan Supply, OECD Countries, Financial Crisis, Interest Rates, Transmission Mechanism, European Monetary Union, European Central Bank, ECB Governing Council, Expansionary Monetary Policy, Trilemma, TARGET2-Balance, Inflation, Transmission Protection Instrument (TPI), ECB Anti-Fragmentation Instrument, Pandemic Emergency Purchase Program (PEPP), Credit-to-GDP Gap, Out-of-Sample Forecasts, Augmented Credit Gap, Countercyclical Capital Buffer, Credit Gap, Decision-making Process, Basel Gap, Forecasting Gaps, One-Sided Gap Series, Two-Sided Gap Series, Altman, Z-Score, Economic Distress, Kazakhstan, Banks, Emerging Market, Multiple Discriminant Analysis, Financial Health, Prediction Accuracy, Wilks' Approach, Direct Approach, Microfinance, Microfinance Institutions, Global Financial Crisis, Covid-19, Social Outreach, Financial Sustainability, Operational Self-Sufficiency, NGOs, Capital Structure, Legal Status, Liquidity Hoarding, Economic Policy Uncertainty, Qatari Banks, Islamic Banks, Endogeneity, Instrumental Variable Approach, Economic Blockade, Asset-Side Liquidity Hoarding, Liability-Side Liquidity Hoarding, Gulf Cooperation Council,

Can Rumors and Other Uninformative Messages Cause Illiquidity ?,
Radu Vranceanu, Damien Besancenot and Delphine Dubart, from HAL (2014)
Keywords: Illiquidity,Rumors,Market panic,Global games,Strategic uncertainty,Experiments

Can Rumors and Other Uninformative Messages Cause Illiquidity ?,
Radu Vranceanu, Damien Besancenot and Delphine Dubart, from ESSEC Research Center, ESSEC Business School (2014)
Keywords: Illiquidity; Rumors; Market panic; Global games; Strategic uncertainty; Experiments

Optimal investment and contingent claim valuation in illiquid markets,
Teemu Pennanen, in Finance and Stochastics (2014)
Keywords: Illiquidity, Optimal investment, Reserving, Indifference pricing, Swap contracts, 52A07, 91B25, 91B26, 91B30, G13, G22, G32,

Convex duality in optimal investment and contingent claim valuation in illiquid markets,
Teemu Pennanen and Ari-Pekka Perkkiö, in Finance and Stochastics (2018)
Keywords: Convex duality, Optimal investment, Valuation, Illiquidity

Aversions to Impatience, Uncertainty and Illiquidity,
Marie Allard, Camille Bronsard and Christian Gourieroux, in Annals of Economics and Statistics (2017)
Keywords: Risk Aversion, Aversion to Impatience, Illiquidity, Disutility Premium, Antonelli Matrix, Substituability, Dreze-Modigliani Decomposition, Incomplete Markets

Liquidating illiquid collateral,
Martin Oehmke, in Journal of Economic Theory (2014)
Keywords: Collateral; Liquidation; Repo market; Illiquidity; Fire sales; Creditor structure; Counterparty risk management;

The Value of Control and the Costs of Illiquidity,
Rui Albuquerque and Enrique Schroth, from C.E.P.R. Discussion Papers (2012)
Keywords: Control discount; Control transactions; Corporate governance; Illiquidity spillover; Marketability discount; Search frictions

The reward for trading illiquid maturities in credit default swap markets,
Armen Arakelyan, Gonzalo Rubio and Pedro Serrano, in International Review of Economics & Finance (2015)
Keywords: Credit default swaps; Illiquidity term structure; Intensity models; Default risk premium; Illiquidity risk premium;

Hidden Illiquidity with Multiple Central Counterparties,
Paul Glasserman, Ciamac Moallemi and Kai Yuan, from Office of Financial Research, US Department of the Treasury (2015)
Keywords: Central Counterparties, swaps market, margin requirements, Liquidity Risks, Illiquidity, risk management, over-the-counter markets, OTC

Why is the Amihud (2002) measure priced in Taiwan: Illiquidity or mispricing?,
Chaonan Lin, Kuan-Cheng Ko and Chien-Lin Lu, in Pacific-Basin Finance Journal (2023)
Keywords: Illiquidity; Mispricing; Cross-section of stock returns; Taiwan stock market;

Illiquidity Premium and Monetary Conditions in Emerging Markets: An Empirical Examination of Taiwan Stock Markets,
Chia-Cheng Chen, Chia-Li Tai and Yi-Sheng Liu, in International Journal of Economics and Financial Issues (2020)
Keywords: Illiquidity; illiquidity premium; monetary policy; asset pricing; Granger's causality tests

On derivatives with illiquid underlying and market manipulation,
Ulrich Horst and Felix Naujokat, in Quantitative Finance (2011)
Keywords: Liquidity modelling, Derivatives pricing, Stochastic models, Game theory, Market manipulation,

Fair risk allocation in illiquid markets,
Péter Csóka, from Institute of Economics, Centre for Economic and Regional Studies (2015)
Keywords: Market Microstructure, Coherent Measures of Risk, Market Liquidity, Funding Liquidity, Portfolio Performance Evaluation, Risk Capital Allocation, Risk Contributions, Totally Balanced Games, Simulation

Fair risk allocation in illiquid markets,
Péter Csóka, in Finance Research Letters (2017)
Keywords: Market microstructure; Coherent measures of risk; Portfolio performance evaluation; Risk capital allocation; Cooperative game theory;

Credit and Inventories in Illiquid Housing Markets,
Antonia Díaz, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2024)
Keywords: Competitive search; Wealth effects; Housing prices; Credit constraints; Housing supply; Elasticity; Rental market; Transitional dynamics.

Stock returns with consumption and illiquidity risks,
Elena Márquez, Belén Nieto and Gonzalo Rubio, in International Review of Economics & Finance (2014)
Keywords: Stochastic discount factor; Ultimate consumption risk; Market-wide liquidity; Illiquidity premium;

Real option with liquidity constraints under secondary debt illiquidity risk market,
Qing Xu and Jinqiang Yang, in Finance Research Letters (2017)
Keywords: Real option; Liquidity constraints; Optimal capital structure; Illiquidity risk;

Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds,
Michael A. Goldstein and Edith S. Hotchkiss, in Journal of Financial Economics (2020)
Keywords: Liquidity provision; Dealer behavior; Corporate bonds; Illiquidity; Roundtrip costs;

FROM ILLIQUID FINANCIAL INSTRUMENT TO MARKET DISTRESS – SELECTED INSTITUTIONAL CIRCUMSTANCES OF THE CREDIT CRISIS,
Anna Krzesniak, in Equilibrium. Quarterly Journal of Economics and Economic Policy (2009)
Keywords: illiquid financial instrument, credit crisis

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios,
Amir E. Khandani and Andrew Lo, in Quarterly Journal of Finance (QJF) (2011)
Keywords: Liquidity, illiquidity, hedge funds, mutual funds, equity premium, market microstructure

Asymmetric Information and Market Decline: Evidence from the Chinese Market,
Paresh Kumar Narayan and Xinwei Zheng, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2012)
Keywords: Illiquidity factor, asymmetric information, market decline

Asymmetric information and market collapse: evidence from the Chinese market,
Paresh Narayan and Xinwei Zheng, from Deakin University, Department of Economics (2011)
Keywords: Illiquidity Factor, Asymmetric Information, Market Collapse

Asymmetric information and market collapse: evidence from the Chinese market,
Paresh Narayan and Xinwei Zheng, from Deakin University, Department of Economics (2010)
Keywords: Illiquidity Factor, Asymmetric Information, Market Collapse

The effect of liquidity on non-marketable securities,
Menachem Abudy, Hadar Binsky and Alon Raviv, in Finance Research Letters (2018)
Keywords: Non-marketability discount; Illiquidity; Thin-traded securities;

Market volatility and stock returns: The role of liquidity providers,
Kee H. Chung and Chairat Chuwonganant, in Journal of Financial Markets (2018)
Keywords: Risk premium; Illiquidity premium; VIX; Market structure;

Secondary market listings in equity crowdfunding: The missing link?,
Anna Lukkarinen and Armin Schwienbacher, in Research Policy (2023)
Keywords: Equity crowdfunding; Secondary markets; Exit; Illiquidity risk;