liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

The concept of bond duration was originally introduced by Macaulay (1938) and nowadays is well- established in the … equities. I derive three candidate models for estimating the duration of a stock. The models are vastly different in their …. Furthermore, I investigate the relationship between the equity duration factor and various common equity factors. Empirical …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

liquidity. Bubbles can arise without the short-sales constraint. We show that the more frequently investors trade in the future …

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 …

This paper highlights the different avenues through which stock liquidity can potentially transcend into accounting … research. Recently, Lang and Maffett show that transparency reduces firm-level liquidity uncertainty, while Ng shows that … increased information quality can reduce a firm's exposure to systematic liquidity risk. These studies respectively suggest that …

Employing a broad sample of US firms over the period 1962 to 2009, we provide evidence of a liquidity risk impact on … the fundamental earnings-returns relation. Specifically, we document that current liquidity risk has a positive moderating … that the liquidity risk effect on the earnings-returns relation is dominant in firms that: (a) are of intermediate size; (b …