Predicting Equity Liquidity

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Publication:3114771

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DOI10.1287/mnsc.48.4.470.210zbMath1232.91695OpenAlexW1550499572MaRDI QIDQ3114771

Laurie Simon Hodrick, William J. Breen, Robert A. Korajczyk

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a0d63a00d120f708afd9f4a5ecd813760c253a1a

zbMATH Keywords

liquidity price impact transactions costs

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

Dynamic portfolio choice with frictions ⋮ Portfolio choice under transitory price impact ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ The impact of illiquidity on the asset management of insurance companies ⋮ OPTION PRICING WITH FEEDBACK EFFECTS ⋮ Dynamic portfolio choice with return predictability and transaction costs ⋮ OPTIMAL EXECUTION HORIZON

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