Extreme downside liquidity risk

Stefan Ruenzi; Michael Ungeheuer; Florian Weigert

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is lowest when market liquidity is lowest

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Year of publication:	2013 ; This version: Nov. 2013
Authors:	Ruenzi, Stefan ; Ungeheuer, Michael ; Weigert, Florian
Publisher:	St. Gallen : School of Finance, Univ. of
Subject:	Spekulation \| Speculation \| Marktliquidität \| Market liquidity \| Risikoprämie \| Risk premium \| 1969-2011

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Extent:	Online-Ressource (PDF-Datei: 69 S.) graph. Darst.
Series:	Working papers on finance. - Sankt Gallen, ZDB-ID 2252526-9. - Vol. 2013,26
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.2240825 [DOI]
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; G01 - Financial Crises ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010410457