Publications Database
Welcome to the new Schulich Peer-Reviewed Publication Database!
The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:
- Faculty Member’s Name;
- Area of Expertise;
- Whether the Publication is Open-Access (free for public download);
- Journal Name; and
- Date Range.
At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.
If you have any questions or input, please don’t hesitate to get in touch.
Search Results
Søren Hvidkjær, Massimo Massa, Aleksandra Rzeźnik (2023). "Co-illiquidity Management", Journal of Empirical Finance, 74,101429.
Abstract
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.Christoffersen, S. K., Musto, D. K., Keim, D. B., Rzeźnik, A. (2021). "Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds", Review of Finance, 3137465.
Abstract
Active mutual funds supply liquidity when demanding it becomes uneconomical. They tilt toward cheaper buy trades after inflows deplete their trading ideas, when trading ideas in general run low, and when they have more stocks to supply liquidity to, and their cheaper trades perform worse. Their largest trades are more likely to supply liquidity, explaining why they were not broken up. Funds perform better when they pay more for their buys, and perform worse when they pay more for their sells, consistent with the implied value of the trades and the correlation between what a fund trades and what it holds.Cao, M., Gold, N., Huang, H. and Wang, Q. (2017). "Liquidity and Volatility Commonality in the Canadian Stock Market", Mathematics-in-Industry Case Studies, 8(7), 1-20.