are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time … volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last …

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … implied oil market volatility negatively affect stocks, this effect is significantly asymmetric, and declining oil market … liquidity predicts declining stock prices …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding … liquidity and the COVID-19 pandemic interacts positively with stock market returns. The findings were irrational to the … the negative impact of the witnessed spike in COVID-19 cases. The revelation that funding liquidity contrary to theory …

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 …

flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …

other hand, investors tend to underreact to idiosyncratic (il)liquidity. Hence, stocks with positive (negative …) idiosyncratic liquidity generate positive (negative) subsequent returns. More specifically, high-low idiosyncratic liquidity …-driven irrational investors are the main drivers of underreaction to idiosyncratic liquidity component …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …