Co-illiquidity Management

Søren Hvidkjær; Massimo Massa; Aleksandra Rzeznik

doi:10.1016/j.jempfin.2023.101429

Co-illiquidity Management

Søren Hvidkjær
, Massimo Massa
, Aleksandra Rzeznik^*

^*Corresponding author for this work

Department of Finance

INSEAD Singapore
York University Toronto

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and 2016 Tick Size pilot program – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.

Original language	English
Article number	101429
Journal	Journal of Empirical Finance
Volume	74
Number of pages	20
ISSN	0927-5398
DOIs	https://doi.org/10.1016/j.jempfin.2023.101429
Publication status	Published - Dec 2023

Keywords

Short-sales constraints
Liquidity
Commonality
Mutual funds

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Cite this

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title = "Co-illiquidity Management",

abstract = "We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and 2016 Tick Size pilot program – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.",

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AU - Massa, Massimo

AU - Rzeznik, Aleksandra

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N2 - We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and 2016 Tick Size pilot program – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.

AB - We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and 2016 Tick Size pilot program – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.

KW - Short-sales constraints

KW - Liquidity

KW - Commonality

KW - Mutual funds

KW - Short-sales constraints

KW - Liquidity

KW - Commonality

KW - Mutual funds

U2 - 10.1016/j.jempfin.2023.101429

DO - 10.1016/j.jempfin.2023.101429

M3 - Journal article

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VL - 74

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

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