systematically different from the full sample. This finding cannot support the "scarce capital" theory or the tax incentive … explanation, but it is consistent with the "empire building" theory. After the GFC, financial constraints tightened, and both CRE …-crisis period. This finding is compatible with the "illiquidity premium" theory. However, the association becomes inconclusive in …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on … REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on … REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary …

This paper examines the relationship between the stock crash risk of REITs and different types of institutional … (bank trusts) is negatively (positively) related to REIT crash risk. In addition, the trading of investment behavior, we … find that REIT crash risk is positively related to the trading of transient institutional investors, which trade frequently …

. These are the general corporate risk premium operating in the economy, and the amount of debt relative to the GDP in the … general economy (liquidity). The addition of these factors greatly adds to the ability of previous models to explain the …