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 language | English |
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| Qualification | Doctor of Philosophy |
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| Supervisors/Advisors |
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| Award date | 18 May 2016 |
| Place of Publication | Tilburg |
| Publisher | |
| Print ISBNs | 9789056684723 |
| Publication status | Published - 2016 |
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