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Asset liquidity, business risk, and beta

Nejadmalayeri, Ali - In: Global finance journal 48 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012886920

Essays on stock momentum and asset liquidity

Sadka, Ronnie - 2003

Persistent link: https://www.econbiz.de/10003624563

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times

Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41

Persistent link: https://www.econbiz.de/10012807897

The new science of asset allocation : risk management in a multi-asset world

Schneeweis, Thomas - 2010 - Online-Ausg.

. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset …

Persistent link: https://www.econbiz.de/10012678602

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Portfolio choice with illiquid assets

Ang, Andrew; Papanikolaou, Dimitris; Westerfield, Mark M. - In: Management science : journal of the Institute for … 60 (2014) 11, pp. 2737-2761

Persistent link: https://www.econbiz.de/10010461809

Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange

Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220

The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency …

Persistent link: https://www.econbiz.de/10012303197

Systematic tail risk

Oordt, Maarten van; Chen Zhou - 2013

Persistent link: https://www.econbiz.de/10010225580

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

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