The third strand of literature analyzes housing price synchronization from liquidity or capital perspective (Longstaff 2010; Hoesli and Reka 2015; Cesa-Bianchi et al. 2015; Eickmeier and Ng 2015; Liao et al. 2015; Hau and Lai 2017).
Institutional investors in Europe now tend to judge sectors almost entirely from a pan-European not a national perspective.Yet liquidity is by no means abundant.
All structural drivers are in place (we look at availability of alternative data, scalability and cost efficiency of underwriting process, ability to offer a better user experience, a conducive regulatory environment, and liquidity from the lender perspective).
From an asset pricing point of view, the effect of liquidity was first argued from a theoretical perspective in 1986 in the seminal paper of Amihub and Mendelson [7], and later by Jacoby, Fowler, and Gottesman in 2000 [8].
This paper analyzes, from a portfolio managers' perspective, the performance of liquidity adjusted risk modeling in obtaining efficient and coherent investable commodity portfolios under normal and adverse market conditions.
In an e-mailed statement on March 17, Lehman Chief Executive Richard Fuld said the Fed's creation of a liquidity facility for primary dealers "from my perspective, takes the liquidity issue for the entire industry off the table".
"The Federal Reserve's decision to create a lending facility for primary dealers and permit a broad range of investment-grade securities to serve as collateral improves the liquidity picture," he said, and "from my perspective, takes the liquidity issue for the entire industry off the table".
Or (assuming retirement account investments outperform yields on government debt, as they they have historically) even a deficit-financed tax cut might be a cheaper way to provide liquidity to individuals, from a long-run perspective.
"The Federal Reserve's decision to create a lending facility for primary dealers and permit a broad range of investment-grade securities to serve as collateral improves the liquidity picture," he told The Times, and "from my perspective, takes the liquidity issue for the entire industry off the table".
Trading strategies or portfolio construction techniques based on sector-market correlational structures to offset liquidity risk would not benefit from a hedging perspective including such firms, due to their non-contemporaneous liquidity movements.
