Showing 1 - 10 of 64
Persistent link: https://www.econbiz.de/10003823652
Persistent link: https://www.econbiz.de/10003901202
Persistent link: https://www.econbiz.de/10003977937
Persistent link: https://www.econbiz.de/10009242335
Persistent link: https://www.econbiz.de/10009625926
Persistent link: https://www.econbiz.de/10009708215
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...
Persistent link: https://www.econbiz.de/10009710603
Persistent link: https://www.econbiz.de/10010370791
Persistent link: https://www.econbiz.de/10011543805
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...
Persistent link: https://www.econbiz.de/10009703602