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Essays on asset liquidity and investment funds

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  • Dekker, Lennart

    (Tilburg University, School of Economics and Management)

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  • Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:5fc9bf77-84e7-4a36-9e3a-1798e435d435
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    3. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
    4. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2005. "Does financial liberalization spur growth?," Journal of Financial Economics, Elsevier, vol. 77(1), pages 3-55, July.
    5. Vikas Agarwal & Honglin Ren & Ke Shen & Haibei Zhao, 2023. "Redemption in Kind and Mutual Fund Liquidity Management," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2274-2318.
    6. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2019. "Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(6), pages 2355-2381, December.
    7. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    8. Vikas Agarwal & Haibei Zhao, 2019. "Interfund Lending in Mutual Fund Families: Role in Liquidity Management," The Review of Financial Studies, Society for Financial Studies, vol. 32(10), pages 4079-4115.
    9. Amber Anand & Chotibhak Jotikasthira & Kumar Venkataraman, 2021. "Mutual Fund Trading Style and Bond Market Fragility," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2993-3044.
    10. Beber, Alessandro & Driessen, Joost & Neuberger, Anthony & Tuijp, Patrick, 2021. "Pricing Liquidity Risk with Heterogeneous Investment Horizons," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(2), pages 373-408, March.
    11. Jack Bao & Jun Pan & Jiang Wang, 2011. "The Illiquidity of Corporate Bonds," Journal of Finance, American Finance Association, vol. 66(3), pages 911-946, June.
    12. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
    13. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    14. An, Yu & Benetton, Matteo & Song, Yang, 2023. "Index providers: Whales behind the scenes of ETFs," Journal of Financial Economics, Elsevier, vol. 149(3), pages 407-433.
    15. Bektic, D. & Wenzler, J.-S. & Wegener, D. & Schiereck, D. & Spielmann, T., 2019. "Extending Fama–French Factors to Corporate Bond Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 117111, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    16. Bektic, D. & Wenzler, J.-S. & Schiereck, D. & Spielmann, T., 2019. "Extending Fama-French Factors to Corporate Bond Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 113059, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    17. Bao, Jack & O’Hara, Maureen & (Alex) Zhou, Xing, 2018. "The Volcker Rule and corporate bond market making in times of stress," Journal of Financial Economics, Elsevier, vol. 130(1), pages 95-113.
    18. Daniel O. Beltran & Keshav Garud & Aaron Rosenblum, 2017. "Emerging Market Nonfinancial Corporate Debt : How Concerned Should We Be?," IFDP Notes 2017-06-01, Board of Governors of the Federal Reserve System (U.S.).
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