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 …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including … the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers …