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Are idiosyncratic volatility and MAX priced in the Canadian market?
Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011662897
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Cryptocurrency return reversals
Kozlowski, Steven E.; Puleo, Michael R.; Zhou, Jizhou - In: Applied economics letters 28 (2021) 11, pp. 887-893
Persistent link: https://www.econbiz.de/10012589685
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CDS-bond basis and bond return predictability
Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337
Persistent link: https://www.econbiz.de/10011664711
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Dollar debt and equity returns
Braymen, Charles; Obonyo, Tirimba; Woessner, Nicholas E. - In: Applied economics letters 28 (2021) 12, pp. 1021-1025
Persistent link: https://www.econbiz.de/10012589735
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Modelling impact of monetary policy on stock market liquidity : a dynamic copula approach
Chu, Xiaojun - In: Applied economics letters 22 (2015) 10/12, pp. 820-824
Persistent link: https://www.econbiz.de/10011286077
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Stochastic volatility, liquidity and intraday information flow
Li, Jinliang; Wu, Chunchi - In: Applied economics letters 18 (2011) 16/18, pp. 1511-1515
Persistent link: https://www.econbiz.de/10009383452
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The impacts of liquidity measures and credit rating on corporate bond yield spreads : evidence from China's green bond market
Chang, Kai; Feng, Yan Ling; Liu, Wang; Lu, Ning; Li, … - In: Applied economics letters 28 (2021) 17, pp. 1446-1457
Persistent link: https://www.econbiz.de/10012626592
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Asset Pricing in the Dark : The Cross Section of OTC Stocks
Ang, Andrew - 2013
. Compared to premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility … premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums …
Persistent link: https://www.econbiz.de/10012459353
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Market Liquidity -- Theory and Empirical Evidence
Vayanos, Dimitri - 2012
around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections … and other asset characteristics, and (c) how illiquidity affects expected asset returns. Using a unified model from …
Persistent link: https://www.econbiz.de/10012460409
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Is liquidity risk priced in cryptocurrency markets?
Han, SeungOh - In: Applied economics letters 30 (2023) 17, pp. 2481-2487
Persistent link: https://www.econbiz.de/10014365989