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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
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Financial Distress and the Value Premium
Fu, Yufen - 2014
The value premium is the empirical observation that low market/book “value” stocks have higher returns than high market/book “growth” stocks. In this paper, we report evidence that there is a value premium for firms in financial distress despite the anomalous observation that firms in...
Persistent link: https://www.econbiz.de/10013069137
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Financial Distress and Equity Returns : A Leverage-Augmented Three-Factor Model
Boubaker, Sabri - 2018
Our study examines whether financial distress risk is systematic risk using twelve portfolios sorted by size, book-to-market, and leverage and a portfolio of distressed firms covering an 18-year period. It also tests the explanatory power of the risk factors that best capture default risk. The...
Persistent link: https://www.econbiz.de/10012933432
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Liquidity, Distress Risk and Asset Pricing Implications
Zou, Qiqi - 2016
measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …
Persistent link: https://www.econbiz.de/10012990993
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A unified model of distress risk puzzles
Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - 2019
We build a dynamic model to link two empirical patterns:\ the negative failure probability-return relation (Campbell, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We show analytically and quantitatively that (i)...
Persistent link: https://www.econbiz.de/10012065129
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SEO Timing, the Cost of Equity Capital, and Liquidity Risk
Lin, Ji-Chai - 2010
risk and liquidity risk, starting about six months prior to SEO filing, and (2) an additional decrease in SEO firms …' liquidity risk just prior to SEO filing. Liquidity risk of SEO firms rebounds but stays relatively low in the filing month, and … different from that of their matched firms. Controlling for the (lower) liquidity risk, along with the market risk, is …
Persistent link: https://www.econbiz.de/10013148741
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Funding liquidity risk and the cross-section of stock returns
Adrian, Tobias; Etula, Erkko M. - 2010
-section of stock returns. Our empirical results show that stocks that hedge against adverse shocks to funding liquidity earn … liquidity can thus account for well-known asset pricing anomalies. -- Cross-sectional asset pricing ; funding liquidity risk …
Persistent link: https://www.econbiz.de/10008657196
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The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Xiao, Tim - 2015
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...
Persistent link: https://www.econbiz.de/10013035565
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Time-Varying Risk Premia for Size Effects on Equity REITs
Chang, Guangdi - 2013
We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We also investigate how macroeconomic factors affect the size premia. We reexamine the size effect by using Fama-French three-factor model to demonstrate that the size effect exists...
Persistent link: https://www.econbiz.de/10013084485
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Real Assets, Liquidation Value and Choice of Financing
Liu, Peng - 2010
We use real estate firms to examine how asset liquidation values influence a firm's financing choices, since the productivity and quality of each asset is observable and potential measures of an asset's liquidation value are easier to ascertain ex-ante. We show that compared to firms that issue...
Persistent link: https://www.econbiz.de/10013135318