1. Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes. (2025). Dimitrov, Daniel.
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2. Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk.
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3. Non-Concave Utility Maximization with Transaction Costs. (2023). Qian, Shuaijie ; Yang, Chen.
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4. Nonconcave Utility Maximization with Portfolio Bounds. (2022). Wan, Xiangwei ; Kou, Steven ; Qian, Shuaijie ; Dai, Min.
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   RePEc:inm:ormnsc:v:68:y:2022:i:11:p:8368-8385.

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5. Incomplete Information and the Liquidity Premium Puzzle. (2021). Chen, Yingshan ; Dai, Min ; Goncalves-Pinto, Luis ; Xu, Jing ; Yan, Cheng.
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   RePEc:inm:ormnsc:v:67:y:2021:i:9:p:5703-5729.

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6. A Dynamic Mean-Variance Analysis for Log Returns. (2021). Xu, Yuhong ; Kou, Steven ; Dai, Min ; Jin, Hanqing.
   In: Management Science.
   RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1093-1108.

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7. Optimal investment in illiquid market with search frictions and transaction costs. (2021). Gang, Tae Ung ; Choi, Jinhyuk.
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   RePEc:arx:papers:2101.09936.

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8. Relative wealth concerns with partial information and heterogeneous priors. (2020). Su, Xizhi ; Zhou, Chao ; Deng, Chao.
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   RePEc:arx:papers:2007.11781.

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9. Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows. (2019). Tompaidis, Stathis ; Kaniel, Ron ; Zhou, TI.
   In: Management Science.
   RePEc:inm:ormnsc:v:65:y:2019:i:7:p:3174-3195.

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10. Optimal consumption and investment with liquid and illiquid assets. (2019). Choi, Jinhyuk.
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    RePEc:arx:papers:1602.06998.

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11. Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Kassibrakis, Serge ; Malamud, Semyon ; Gallien, Florent.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200.

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12. Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows. (2017). Tompaidis, Stathis ; Kaniel, Ron ; Zhou, TI.
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    RePEc:cpr:ceprdp:12285.

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13. Ambiguity and optimal portfolio choice with Value-at-Risk constraint. (2016). Park, Seyoung ; Jang, Bong-Gyu.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:18:y:2016:i:c:p:158-176.

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14. Hysteresis bands on returns, holding period and transaction costs. (2015). Puopolo, Giovanni ; Dumas, Bernard ; Delgado, Francisco.
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    RePEc:eee:jbfina:v:57:y:2015:i:c:p:86-100.

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15. Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. (2013). Liu, Ren ; Muhle-Karbe, Johannes.
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    RePEc:arx:papers:1205.4588.

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1. Persistence in Financial Connectedness and Systemic Risk. (2023). Baruník, Jozef ; Ellington, Michael.
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   RePEc:arx:papers:2007.07842.

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2. Opinion divergence, unexpected trading volume and stock returns: Evidence from China. (2015). Qin, LU ; Chen, Lin ; Zhu, Hongquan.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:36:y:2015:i:c:p:119-127.

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3. Measuring the liquidity part of volume. (2015). darolles, serge ; Mero, Gulten ; le Fol, Gaelle.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:50:y:2015:i:c:p:92-105.

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4. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). Kyriazis, Dimitris ; ARTIKIS, PANAGIOTIS ; Apergis, Nicholas.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:38:y:2015:i:c:p:42-64.

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5. Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2015). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10497.

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6. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets. (2015). Vilkov, Grigory ; Uppal, Raman ; Buss, Adrian.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10437.

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7. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Muhle-Karbe, Johannes ; Kallsen, Jan.
   In: Papers.
   RePEc:arx:papers:1303.3148.

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8. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10151.

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9. Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry. (2013). Suardi, Sandy ; Ding, Mingfa ; Nilsson, Birger.
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10. Finance: Function Matters, Not Size. (2013). Cochrane, John.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:27:y:2013:i:2:p:29-50.

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11. Flight to liquidity due to heterogeneity in investment horizon. (2012). Wang, Xuewu ; Lei, Qin.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

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12. Primary market characteristics and secondary market frictions of stocks. (2012). Boehme, Rodney ; Çolak, Gönül, .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:286-327.

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13. Liquidity problems in the FX liquid market: Ask for the BIL.. (2010). Le Fol, Gaelle ; Idier, Julien ; Borgy, Vladimir.
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    RePEc:bfr:banfra:279.

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14. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Predescu, Mirela ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1003.0889.

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15. Illiquidity and Stock Returns. (2010). Mooradian, Robert M..
    In: Review of Applied Economics.
    RePEc:ags:reapec:143268.

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16. Dynamic Sources of Sovereign Bond Market Liquidity. (2009). .
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17. The diminishing liquidity premium. (2008). Kadan, Ohad ; Ben-Rephael, Azi ; Wohl, Avi.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200852.

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18. MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members. (2008). Pieirochousa, Juan ; Melikyan, Davit N. ; Tamazian, Artur.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-916.

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19. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

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20. The Risk Components of Liquidity. (2008). Skjeltorp, Johannes ; Næs, Randi ; Nas, Randi ; Chollete, Loran.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_007.

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21. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

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22. Is There Hedge Fund Contagion?. (2008). Stulz, René ; Boyson, Nicole ; Stahel, Christof.
    In: Working Papers.
    RePEc:ecl:upafin:08-2.

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23. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Boyson, Nicole M. ; Stahel, Christof W..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-8.

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24. Commodity Price Exposure and Ownerhsip Clienteles. (2008). Davies, Phil ; Schrand, Catherine ; Minton, Bernadette.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-7.

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25. Expected returns and liquidity risk: Does entrepreneurial income matter?. (2008). Saffi, Pedro.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0749.

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26. Portfolio choice and the effects of liquidity. (2007). Rubio, Gonzalo ; Gonzalez, Ana.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1035.

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27. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12877.

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28. Three Liquidity Crises in Retrospective: Implications for Central Banking Today. (2007). Sauer, Stephan.
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:2011.

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29. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

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30. Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World. (2007). van Dijk, Mathijs ; Karolyi, G. ; LEE, KUANHUI .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2007-16.

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31. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6390.

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32. Fire Sales, Foreign Entry and Bank Liquidity. (2007). Yorulmazer, Tanju ; Shin, Hyun Song ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6309.

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33. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6117.

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34. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. (2006). Beber, Alessandro ; Brandt, Michael W. ; Kavajecz, Kenneth A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12376.

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35. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12360.

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36. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12020.

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37. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
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38. The Nontradable Share Reform in the Chinese Stock Market. (2006). Bortolotti, Bernardo ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:fem:femwpa:2006.131.

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39. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

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40. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5491.

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41. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11413.

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42. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

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43. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-10.

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44. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

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45. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10755.

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46. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:425.

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47. Liquidity Black Holes. (2003). Shin, Hyun Song ; Morris, Stephen.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1434.

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48. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Miguel Angel A. Martinez, ; Rubio, Gonzalo ; Nieto, Belen.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200205.

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49. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Tapia, Mikel ; Rubio, Gonzalo ; Nieto, Belen.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb026022.

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50. Liquidity Risk and Expected Stock Returns. (2002). Stambaugh, Robert ; Pastor, Lubos.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3494.

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