Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where the stock and market liquidities are usually...

Purpose – Most of the credit spread literature deals with the determinants of credit spread changes for individual bonds. The purpose of this paper is to investigate the explanatory power of credit spread changes and their determinants for portfolios. Design/methodology/approach – Using...

Purpose – The purpose of this paper is to reinvestigate the performance of common stock returns with respect to two popularly known firm level characteristics: size and book-to-market ratio. Design/methodology/approach – All of New York Stock Exchange, American Stock Exchange, and National...

Purpose – The purpose of this paper is to shed light on the causes of the 2007-2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy. Design/methodology/approach – The paper critically reviews the 2007-2009 financial...

Purpose – The purpose of this paper is to examine the impact of heterogeneous expectations on the equilibrium value of a risky asset in a capital market populated by investors that choose mean-variance efficient portfolios. Design/methodology/approach – A single-period, discrete-time version...

Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where the stock and market liquidities are usually...

Purpose – The purpose of this paper is to examine the impact of heterogeneous expectations on the equilibrium value of a risky asset in a capital market populated by investors that choose mean‐variance efficient portfolios. Design/methodology/approach – A single‐period, discrete‐time...

Purpose – The purpose of this paper is to reinvestigate the performance of common stock returns with respect to two popularly known firm level characteristics: size and book‐to‐market ratio. Design/methodology/approach – All of New York Stock Exchange, American Stock Exchange, and...

Purpose – Most of the credit spread literature deals with the determinants of credit spread changes for individual bonds. The purpose of this paper is to investigate the explanatory power of credit spread changes and their determinants for portfolios. Design/methodology/approach – Using...

Purpose – The purpose of this paper is to shed light on the causes of the 2007‐2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy. Design/methodology/approach – The paper critically reviews the 2007‐2009 financial...