Liquid Co-Illiquidity Management
59 Pages Posted: 29 Jan 2023
There are 4 versions of this paper
Liquid Co-Illiquidity Management
Number of pages: 51
Posted: 19 Apr 2021
Last Revised: 09 Dec 2021
Downloads
78
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 the 2008 short selling ban – we document that in the face of sudden illiquidity shocks, short-term investors are willing to accept higher portfolio co-illiquidity to circumvent an increase in their holdings’ illiquidity.
Keywords: Short-sales constraints, liquidity, commonality, mutual funds
Suggested Citation: Suggested Citation
Rzeznik, Aleksandra and Hvidkjaer, Soeren and Massa, Massimo, Liquid Co-Illiquidity Management. Available at SSRN: https://ssrn.com/abstract=4342007 or http://dx.doi.org/10.2139/ssrn.4342007
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.