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The liquidity management of institutional investors and the pricing of liquidity risk

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  • Xing, Ran

    (Tilburg University, School of Economics and Management)

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  • Xing, Ran, 2016. "The liquidity management of institutional investors and the pricing of liquidity risk," Other publications TiSEM 1df96fc1-de24-4e94-a747-3, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:1df96fc1-de24-4e94-a747-3a852fef4588
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    References listed on IDEAS

    as
    1. Yan, Xuemin (Sterling), 2008. "Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(3), pages 741-767, September.
    2. repec:bla:jfinan:v:55:y:2000:i:4:p:1655-1703 is not listed on IDEAS
    3. repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
    4. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
    5. Stefan Nagel, 2012. "Evaporating Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2005-2039.
    6. Vayanos, Dimitri, 2004. "Flight to quality, flight to liquidity, and the pricing of risk," LSE Research Online Documents on Economics 456, London School of Economics and Political Science, LSE Library.
    7. Russ Wermers, 2000. "Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses," Journal of Finance, American Finance Association, vol. 55(4), pages 1655-1695, August.
    8. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
    9. Myron S. Scholes, 2000. "Crisis and Risk Management," American Economic Review, American Economic Association, vol. 90(2), pages 17-21, May.
    10. Schwartz, Eduardo S & Tebaldi, Claudio, 2004. "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management qt7q65t12x, Anderson Graduate School of Management, UCLA.
    11. Joshua M. Pollet & Mungo Wilson, 2008. "How Does Size Affect Mutual Fund Behavior?," Journal of Finance, American Finance Association, vol. 63(6), pages 2941-2969, December.
    Full references (including those not matched with items on IDEAS)

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