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Market liquidity: an introduction for practitioners

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  • Schäffler, Christian
  • Schmaltz, Christian
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    Abstract

    This working paper surveys theoretical and empirical work about market liquidity and market liquidity risk. It addresses interested practitioners as well as students who want to gain a quick overview about the latest progress in research in market liquidity. --

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    Bibliographic Info

    Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 131.

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    Date of creation: 2009
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    Handle: RePEc:zbw:fsfmwp:131

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hirsch, Christian & Bannier, Christina E., 2007. "The economics of rating watchlists: evidence from rating changes," Frankfurt School - Working Paper Series 88, Frankfurt School of Finance and Management.
    2. Heidorn, Thomas & Kaiser, Dieter G. & Muschiol, Andrea, 2007. "Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung," Frankfurt School - Working Paper Series 77, Frankfurt School of Finance and Management.
    3. Herrmann-Pillath, Carsten, 2009. "A neurolinguistic approach to performativity in economics," Frankfurt School - Working Paper Series 123, Frankfurt School of Finance and Management.
    4. Heidorn, Thomas & Gerhold, Mirko, 2004. "Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)," Frankfurt School - Working Paper Series 50, Frankfurt School of Finance and Management.
    5. Christina Bannier, 2007. "Heterogeneous multiple bank financing: does it reduce inefficient credit-renegotiation incidences?," Financial Markets and Portfolio Management, Springer, Springer, vol. 21(4), pages 445-470, December.
    6. Schanz, Kay-Michael & Schalast, Christoph, 2006. "Wertpapierprospekte: Markteinführungspublizität nach EU-Prospektverordnung und Wertpapierprospektgesetz 2005," Frankfurt School - Working Paper Series 74, Frankfurt School of Finance and Management.
    7. Herrmann-Pillath, Carsten, 2008. "Neuroeconomics, naturalism and language," Frankfurt School - Working Paper Series 108, Frankfurt School of Finance and Management.
    8. Schanz, Kay-Michael & Richard, Jörg & Schalast, Christoph, 2004. "Unternehmen im Prime Standard staying public oder going private? Nutzenanalyse der Börsennotiz," Frankfurt School - Working Paper Series 60, Frankfurt School of Finance and Management.
    9. Demidova-Menzel, Nadeshda & Heidorn, Thomas, 2007. "Gold in the investment portfolio," Frankfurt School - Working Paper Series 87, Frankfurt School of Finance and Management.
    10. Herrmann-Pillath, Carsten, 2009. "Kulturelle Hybridisierung und Wirtschaftstransformation in China," Frankfurt School - Working Paper Series 115, Frankfurt School of Finance and Management.
    11. Heidorn, Thomas & Meyer, Bernd & Pietrowiak, Alexander, 2004. "Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden," Frankfurt School - Working Paper Series 57, Frankfurt School of Finance and Management.
    12. Ansgar Belke & Thorsten Polleit, 2007. "How the ECB and the US Fed set interest rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 39(17), pages 2197-2209.
    13. Schalast, Christoph & Ockens, Klaas & Jobe, Clemens J. & Safran, Robert, 2006. "Work-out und Servicing von notleidenden Krediten: Berichte und Referate des HfB-NPL Servicing Forums 2006," Frankfurt School - Working Paper Series 76, Frankfurt School of Finance and Management.
    14. Wollersheim, Jutta & Barthel, Erich, 2008. "Kulturunterschiede bei Mergers & Acquisitions: Entwicklung eines Konzeptes zur Durchführung einer Cultural Due Diligence," Frankfurt School - Working Paper Series 94, Frankfurt School of Finance and Management.
    15. Heidorn, Thomas & Schmaltz, Christian & Kunze, Wolfgang, 2008. "Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver)," Frankfurt School - Working Paper Series 93, Frankfurt School of Finance and Management.
    16. Christina E. Bannier, 2010. "Is there a Holdup Benefit in Heterogeneous Multiple Bank Financing?," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, Mohr Siebeck, Tübingen, vol. 166(4), pages 641-661, December.
    17. Schalast, Christoph & Tiemann, Marcel & Tuppi, Pascal, 2009. "Staatsfonds - neue Akteure an den Finanzmärkten?," Frankfurt School - Working Paper Series 114, Frankfurt School of Finance and Management.
    18. Ansgar Belke & Thorsten Polleit, 2005. "(How) Do Stock Market Returns React to Monetary Policy? - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 253/2005, Department of Economics, University of Hohenheim, Germany.
    19. Bannier, Christina E. & Müsch, Stefan, 2008. "Die Auswirkungen der Subprime-Krise auf den deutschen LBO-Markt für Small- und MidCaps," Frankfurt School - Working Paper Series 103, Frankfurt School of Finance and Management.
    20. Schalast, Christoph, 2008. "Der deutsche NPL-Markt 2007: aktuelle Entwicklungen, Verkauf und Bewertung ; Berichte und Referate des NPL-Forums 2007," Frankfurt School - Working Paper Series 90, Frankfurt School of Finance and Management.
    21. Hankir, Yassin & Rauch, Christian & Umber, Marc P., 2009. "It's the market power, stupid! Stock return patterns in international bank M&A," Frankfurt School - Working Paper Series 129, Frankfurt School of Finance and Management.
    22. Chevalier, Pierre & Heidorn, Thomas & Krieger, Christian, 2003. "Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken," Frankfurt School - Working Paper Series 49, Frankfurt School of Finance and Management.
    23. Heidorn, Thomas & Pleißner, Mathias, 2008. "Determinanten europäischer CMBS spreads: ein empirisches Modell zur Bestimmung der Risikoaufschläge von commercial mortgage-backed securities (CMBS)," Frankfurt School - Working Paper Series 101, Frankfurt School of Finance and Management.
    24. Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
    25. Anders, Dietmar & Binder, Andreas & Hesdahl, Ralf & Schalast, Christoph & Thöne, Thomas, 2004. "Aktuelle Fragen des Bank- und Kapitalmarktrechts I: Non-Performing-Loans/Faule Kredite - Handel, Work-Out, Outsourcing und Securitisation," Frankfurt School - Working Paper Series 54, Frankfurt School of Finance and Management.
    26. Heidorn, Thomas & Hoppe, Christian & Kaiser, Dieter G., 2005. "Möglichkeiten der Strukturierung von Hedgefondsportfolios," Frankfurt School - Working Paper Series 68, Frankfurt School of Finance and Management.
    27. Heidorn, Thomas & Schmaltz, Christian, 2009. "Interne Transferpreise für Liquidität," Frankfurt School - Working Paper Series 125, Frankfurt School of Finance and Management.
    28. Bannier, Christina E. & Hänsel, Dennis N., 2007. "Determinants of banks' engagement in loan securitization," Frankfurt School - Working Paper Series 85, Frankfurt School of Finance and Management.
    29. Schalast, Christoph & Bolder, Markus & Radünz, Claus & Siepmann, Stephanie & Weber, Thorsten, 2009. "Transaktionen und Servicing in der Finanzkrise: Berichte und Referate des Frankfurt School NPL Forums 2008," Frankfurt School - Working Paper Series 112, Frankfurt School of Finance and Management.
    30. Dickler, Robert A. & Schalast, Christoph, 2006. "Distressed debt in Germany: What's next? Possible innovative exit strategies," Frankfurt School - Working Paper Series 73, Frankfurt School of Finance and Management.
    31. Roßbach, Peter, 2009. "Die Rolle des Internets als Informationsbeschaffungsmedium in Banken," Frankfurt School - Working Paper Series 120, Frankfurt School of Finance and Management.
    32. Herrmann-Pillath, Carsten, 2008. "The naturalistic turn in economics: implications for the theory of finance," Frankfurt School - Working Paper Series 105, Frankfurt School of Finance and Management.
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