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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …
Persistent link: https://www.econbiz.de/10014307488
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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
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
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The Pricing and Performance of New Corporate Bonds : Sorting Out Underpricing and Liquidity Effects
Kozhanov, Igor - 2012
initial underpricing and higher liquidity: New bonds generally have lower yields than seasoned benchmarks, and average … benchmark-adjusted returns form a humped pattern by horizon. We then test whether liquidity effects in bonds are linked to … issuers' equity liquidity. Generally, we find that equity and bond illiquidity are linked at the firm level, and that equity …
Persistent link: https://www.econbiz.de/10013099377
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Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks
Umlauft, Roland - 2013
This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …
Persistent link: https://www.econbiz.de/10013090386
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Illiquidity Premium and Expected Stock Returns in the UK : A New Approach
Chen, Jiaqi - 2017
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 …
Persistent link: https://www.econbiz.de/10012958646
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Liquidity Risk and Mutual Fund Performance
Dong, Xi - 2019
This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces … a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta … performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based on …
Persistent link: https://www.econbiz.de/10012905931
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Employment Growth, Liquidity Risk, and the Cross-section of Stock Returns
Liu, Weimin - 2019
Employment growth (EG) is likely related to liquidity fundamentals of investment opportunities, firm health, and … information environment. This, in turn, implies that liquidity risk may play a role in explaining the relation between employment … growth and stock returns. We explain the link between employment growth and liquidity risk with a parsimonious model and find …
Persistent link: https://www.econbiz.de/10012894120
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Resiliency and Stock Returns
Hua, Jian - 2020
We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a … liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns …
Persistent link: https://www.econbiz.de/10012851808