Predicting equity liquidity

DOI10.1287/MNSC.48.4.470.210MaRDI QIDQ3114771zbMATH OpenOpenAlexFDO

Authors William J. Breen, Laurie Simon Hodrick, 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

liquidityprice impacttransactions costs

Mathematics Subject Classification ID

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

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Cited in

(10)

• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
• Dynamic portfolio choice with return predictability and transaction costs
• Dynamic portfolio choice with frictions
• OPTION PRICING WITH FEEDBACK EFFECTS
• Activism, strategic trading, and liquidity
• Liquidity fluctuations and the latent dynamics of price impact
• What constrains liquidity provision? Evidence from institutional trades
• OPTIMAL EXECUTION HORIZON
• Portfolio choice under transitory price impact
• The impact of illiquidity on the asset management of insurance companies

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