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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Measuring financial interdependence in asset markets with an application to eurozone equities
Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Journal of banking & finance 122 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012659252
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Bond market event study methods
Ederington, Louis H.; Guan, Wei; Yang, Zongfei - In: Journal of banking & finance 58 (2015), pp. 281-293
Persistent link: https://www.econbiz.de/10011544008
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Liquidity risk in stock returns : an event-study perspective
Cao, Charles Q.; Petrasek, Lubomir - In: Journal of banking & finance 45 (2014), pp. 72-83
Persistent link: https://www.econbiz.de/10010466646
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Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective
Guidolin, Massimo; Hyde, Stuart - In: Journal of banking & finance 36 (2012) 3, pp. 695-716
Persistent link: https://www.econbiz.de/10009540509
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Dynamic comovement among banks, systemic risk, and the macroeconomy
Kapinos, Pavel; Kishor, N. Kundan; Ma, Jun - In: Journal of banking & finance 138 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013461953
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The relationship between asset growth and the cross-section of stock returns
Gray, Philip K.; Johnson, Jessica - In: Journal of banking & finance 35 (2011) 3, pp. 670-680
Persistent link: https://www.econbiz.de/10009159716
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Volatility and covariation of financial assets : a high-frequency analysis
Cartea, Álvaro; Karyampas, Dimitrios - In: Journal of banking & finance 35 (2011) 12, pp. 3319-3334
Persistent link: https://www.econbiz.de/10009384246
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Liquidity and the cross-section of international stock returns
Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012820574
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Data frequency and the number of factors in stock returns
Huang, Roger D. - In: Journal of banking & finance 19 (1995) 6, pp. 987-1003
Persistent link: https://www.econbiz.de/10001187938