Conditional portfolio allocation: Does aggregate market liquidity matter?
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- 作者：Tarik Bazgour ; tarik.bazgour@ulg.ac.be" class="auth_mail" title="E-mail the corresponding author ; Cedric Heuchenne1 ; C.heuchenne@ulg.ac.be" class="auth_mail" title="E-mail the corresponding author ; Danielle Sougné ; 2 ; danielle.sougne@ulg.ac.be" class="auth_mail" title="E-mail the corresponding author
- 关键词：Aggregate market liquidity ; Portfolio choice ; Nonparametric methods
- 刊名：Journal of Empirical Finance
- 出版年：2016
- 出版时间：January 2016
- 年：2016
- 卷：35
- 期：Complete
- 页码：110-135
- 全文大小：2900 K
文摘
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We study how aggregate market liquidity influences optimal portfolio allocation.
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Its effect decreases with the investment horizon and the asset's liquidity.
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Optimal weights exhibit a shift toward larger stocks as market liquidity dries up.
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Optimal weights in the risky assets decrease as market liquidity dries up.
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Our liquidity-based strategy enhances performance and reduces potential losses.