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 …

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 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 …

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 …

tightening. Besides, small banks are found to suffer more as their credit risk and liquidity risk increase. We show that lending … relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a … demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

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 …

We present evidence of differential effects of risk perception in the housing market. We use housing transaction data … near military bases to examine capitalization of potential military jet accident risk in house prices. We find that …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …