A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

This paper analyses the relationship between the prevailing liquidity conditions (such as measures of money, credit and … sustained excess liquidity, we analyse under which conditions they are more likely to be followed by an asset price boom. The … periods of sustained excess liquidity that are accompanied by strong economic activity, low interest rates, high real credit …

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …