Co-illiquidity management

Søren Hvidkjær, Massimo Massa and Aleksandra Rzeźnik

Journal of Empirical Finance, 2023, vol. 74, issue C

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 2016 Tick Size pilot program – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.

Keywords: Short-sales constraints; Liquidity; Commonality; Mutual funds (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000968

DOI: 10.1016/j.jempfin.2023.101429

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