The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary … liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only …

significantly negatively related to equity market returns. It means that high liquidity stocks earn higher return in comparison to … low liquidity stocks. Traditional Capital Asset Pricing Model (CAPM) is found to be valid as market factor is significant … argue that low liquidity stocks earn higher return as compensation for taking illiquidity risk. As illiquidity premium …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …