Department of Economics and Business Economics

Economic valuation of liquidity timing

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Economic valuation of liquidity timing. / Karstanje, D.; Sojli, E.; Tham, W.W.; Wel, Michel van der.

In: Journal of Banking & Finance, Vol. 37, No. 12, 01.12.2013, p. 5073-5087.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Karstanje, D, Sojli, E, Tham, WW & Wel, MVD 2013, 'Economic valuation of liquidity timing', Journal of Banking & Finance, vol. 37, no. 12, pp. 5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010

APA

Karstanje, D., Sojli, E., Tham, W. W., & Wel, M. V. D. (2013). Economic valuation of liquidity timing. Journal of Banking & Finance, 37(12), 5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010

CBE

Karstanje D, Sojli E, Tham WW, Wel MVD. 2013. Economic valuation of liquidity timing. Journal of Banking & Finance. 37(12):5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010

MLA

Karstanje, D. et al. "Economic valuation of liquidity timing". Journal of Banking & Finance. 2013, 37(12). 5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010

Vancouver

Karstanje D, Sojli E, Tham WW, Wel MVD. Economic valuation of liquidity timing. Journal of Banking & Finance. 2013 Dec 1;37(12):5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010

Author

Karstanje, D. ; Sojli, E. ; Tham, W.W. ; Wel, Michel van der. / Economic valuation of liquidity timing. In: Journal of Banking & Finance. 2013 ; Vol. 37, No. 12. pp. 5073-5087.

Bibtex

@article{bb4e39b012cc424fbd3bfb3fbee1e7dd,
title = "Economic valuation of liquidity timing",
abstract = "This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on various liquidity measures to one that conditions on the Zeros measure (Lesmond et al., 1999); the Zeros measure outperforms other liquidity measures because of its robustness in extreme market conditions. These findings are stable over time and robust to controlling for existing market return predictors or considering risk-adjusted returns.",
author = "D. Karstanje and E. Sojli and W.W. Tham and Wel, {Michel van der}",
year = "2013",
month = dec,
day = "1",
doi = "10.1016/j.jbankfin.2013.09.010",
language = "English",
volume = "37",
pages = "5073--5087",
journal = "Journal of Banking & Finance",
issn = "0378-4266",
publisher = "Elsevier BV",
number = "12",

}

RIS

TY - JOUR

T1 - Economic valuation of liquidity timing

AU - Karstanje, D.

AU - Sojli, E.

AU - Tham, W.W.

AU - Wel, Michel van der

PY - 2013/12/1

Y1 - 2013/12/1

N2 - This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on various liquidity measures to one that conditions on the Zeros measure (Lesmond et al., 1999); the Zeros measure outperforms other liquidity measures because of its robustness in extreme market conditions. These findings are stable over time and robust to controlling for existing market return predictors or considering risk-adjusted returns.

AB - This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on various liquidity measures to one that conditions on the Zeros measure (Lesmond et al., 1999); the Zeros measure outperforms other liquidity measures because of its robustness in extreme market conditions. These findings are stable over time and robust to controlling for existing market return predictors or considering risk-adjusted returns.

UR - http://www.scopus.com/inward/record.url?scp=84885725175&partnerID=8YFLogxK

U2 - 10.1016/j.jbankfin.2013.09.010

DO - 10.1016/j.jbankfin.2013.09.010

M3 - Journal article

AN - SCOPUS:84885725175

VL - 37

SP - 5073

EP - 5087

JO - Journal of Banking & Finance

JF - Journal of Banking & Finance

SN - 0378-4266

IS - 12

ER -