Søren Hvidkjær, Massimo Massa, Aleksandra Rzeźnik
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. © 2023 Elsevier B.V.
Copenhagen Business School, Kilevej, Frederiksberg, DK-2000, Denmark; INSEAD, 1 Ayer Rajah Avenue, Singapore, 138676, Singapore; Schulich School of Business, York University, 4700 Keele St., Toronto, M3J 1P3, ON, Canada
