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The shadow costs of illiquidity

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  • Jansen, Kristy

    (Tilburg University, School of Economics and Management)

  • Werker, Bas J.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Jansen, Kristy & Werker, Bas J.M., 2022. "The shadow costs of illiquidity," Other publications TiSEM 45863ecf-b407-4cf5-960b-d, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:45863ecf-b407-4cf5-960b-d901bb72dee3
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    References listed on IDEAS

    as
    1. Xing Jin & Allen X. Zhang, 2012. "Decomposition of Optimal Portfolio Weight in a Jump-Diffusion Model and Its Applications," The Review of Financial Studies, Society for Financial Studies, vol. 25(9), pages 2877-2919.
    2. Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003. "Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?," Journal of Financial Economics, Elsevier, vol. 67(3), pages 385-410, March.
    3. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    4. Francis A. Longstaff, 2009. "Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets," American Economic Review, American Economic Association, vol. 99(4), pages 1119-1144, September.
    5. Xuanjuan Chen & Jing-Zhi Huang & Zhenzhen Sun & Tong Yao & Tong Yu, 2020. "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market," Management Science, INFORMS, vol. 66(2), pages 932-957, February.
    6. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    7. Dion Bongaerts & Frank de Jong & Joost Driessen, 2017. "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1229-1269.
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