During the crisis when the basis became the most negative, all limit-to-arbitrage measures, collateral quality, bond
illiquidity, counterparty risk, and funding liquidity risk, are statistically significantly correlated with the basis and have the expected sign, suggesting that the basis was more negative for a bond more costly engaged in the arbitrage trade.
Illiquidity premiums observed in the market allow for the
illiquidity risk characteristics of financial instruments.
In the current study, such a goal is best achieved by selecting the Portuguese stock market in which
illiquidity is likely to be an important factor for many of its listed stocks.
The relative
illiquidity of interval and tender-offer funds could potentially benefit investors two ways -- by providing access to the
illiquidity premium that may be reflected in higher-yielding securities, while protecting against a rush for the exits at precisely the wrong time.
In overall terms, the regional investment market remains characterised by low deal volumes and relative
illiquidity, which has proven to be a consistent barrier for international capital, and for the development of a more formal and sizeable investment market.
The regional investment market remains characterised by low deal volumes and relative
illiquidity. However, the relative
illiquidity is not driven by a lack of capital for deployment, rather it is the lack of available investment product for sale.
NEPC works with five sets of macro factors for setting top-down asset allocation: economic growth, real interest rates, inflation, currency and
illiquidity. These are further broken down into 14 sub-factors.
Hence, the effect of
illiquidity (4) is not explicitly accounted for in these models.
The greatest trades are those that take advantage of mispriced assets and
illiquidity. As we head into 2017's second quarter, it increasingly appears as if the European instability narrative may be overblown as the continent prepares to outperform a shaky, "Trump trade"-dependent US, according to Steen Jakobsen , Chief Economist & CIO at Saxo Bank.
"Despite the allure of these investments, SWFs are aware of the potential risks, with
illiquidity topping the list.
Clayton, Harvard University; and Christopher Harris, University of Cambridge, "Optimal
Illiquidity"
While QE created a liquidity tsunami, Dodd Frank and the Volcker Rule created "market
illiquidity", since global banks slashed their capital committed to making markets in less liquid corporate or emerging market debt and over the counter (OTC) derivatives.
