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

Ran Xing

Research output: ThesisDoctoral Thesis

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Abstract

This dissertation studies how mutual funds and hedge funds manage their liquidity and reduce trading costs, and the pricing of liquidity level and liquidity risk in financial markets. Chapter 1 documents the trading behavior of actively managed equity mutual funds from the perspective of their trading cost management. Chapter 2 analyzes what size for the liquidity risk premium can be justified theoretically. Here we calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRRA utility and a time-varying investment opportunity set. Chapter 3 studies how hedge funds adjusted their holdings of liquid and illiquid stocks before, during and after the 2008 financial crisis.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Driessen, Joost, Promotor
  • Manconi, Alberto, Co-promotor
Award date18 May 2016
Place of PublicationTilburg
Publisher
Print ISBNs9789056684723
Publication statusPublished - 2016

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