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Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea

Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435

Persistent link: https://www.econbiz.de/10010401960

Street-smart asset pricing

Asthana, Vinay - In: Applied financial economics 23 (2013) 16/18, pp. 1371-1381

Persistent link: https://www.econbiz.de/10010259428

Momentum in stock market returns : implications for risk premia on foreign currencies

Nitschka, Thomas - In: Applied financial economics 23 (2013) 7/9, pp. 551-560

Persistent link: https://www.econbiz.de/10009750714

Value premium in the Chinese stock market : free lunch or paid lunch?

Huang, Yujia; Yang, Jiawen; Zhang, Yongji - In: Applied financial economics 23 (2013) 4/6, pp. 315-324

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The risk premiums of the four-factor asset pricing model in the Hong Kong stock market

Lam, Keith S. K.; Li, Frank K. - In: Applied financial economics 18 (2008) 18/21, pp. 1667-1680

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Pricing of liquidity risk : empirical evidence from Finland

Vaihekoski, Mika - In: Applied financial economics 19 (2009) 19/21, pp. 1547-1557

This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...

Persistent link: https://www.econbiz.de/10003904294