Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...

Based on a sample of 7,378 firms going public in the 1975-2005 period, we document a significant underperformance of IPO firms over the first year after going public, while there is virtually no underperformance thereafter. Moreover, by decomposing the Carhart-alpha we find that IPO...

I use a survey methodology to obtain consensus ratings of 64 Swiss company names. The survey evidence suggests that simple cognitive company name characteristics do affect the buy and sell decision of respondents. Furthermore, I find that respondents attribute positive stock performance rather...

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

Einleitung: In der zweiten Hälfte der neunziger Jahre ist die Verbesserung der CorporateGovernance börsennotierter Gesellschaften zu einem intensiv diskutiertenThema geworden. Im Unterschied zu früheren Debatten, wie sie vor etwazwanzig Jahren anlässlich der Arbeit von Jensen/Meckling (1976)...

Recent empirical work shows that a better legal environment leads to lowerexpected rates of return in an international cross-section of countries. Thispaper investigates whether differences in firm-specific corporate governancealso help to explain expected returns in a cross-section of firms...