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IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER
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IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER (2005)IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDI…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Trading activity and expected stock returns (2001)Trading activity and expected…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityOptimal control of execution costs (1998)Optimal control of execution …The Limits of Arbitrage (1995)The Limits of ArbitrageThe Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Estimating the components of the bid/ask spread (1988)Estimating the components of …Determinants of Portfolio Performance (1986)Determinants of Portfolio Per…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…The Cost of Transacting (1968)The Cost of TransactingBitcoin and liquidity risk diversification (2020)Bitcoin and liquidity risk di…Uncertain portfolio selection with mental accounts and realistic constraints (2018)Uncertain portfolio selection…Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making (2016)Sustainability-Oriented Finan…Multicriteria Decision Aid/Analysis in Finance (2016)Multicriteria Decision Aid/An…Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives (2016)Dynamic Longevity Hedging in …An analytical derivation of the efficient surface in portfolio selection with three criteria (2015)An analytical derivation of t…Liquidity and Portfolio Choice: A Unified Approach (2013)Liquidity and Portfolio Choic…Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios (2011)Illiquidity Premia in Asset R…Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming (2009)Large-scale MV efficient fron…Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios (2009)Illiquidity Premia in Asset R…Portfolio Selection in the Presence of Multiple Criteria (2008)Portfolio Selection in the Pr…Portfolio optimization: New capabilities and future methods (2006)Portfolio optimization: New c…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Credit Cycles (1997)Contagion as a Wealth Effect (2001)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Information Effects on the Bid-Ask Spread (1983)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)An Engine, Not a Camera (2006)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1968The Cost of Transacting1,909 cited
  • 2000Commonality in liquidity1,748 cited
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  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
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  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 2001Trading activity and expected stock returns909 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures

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  • 2016Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives27 cited