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Persistent link: https://www.econbiz.de/10012667629

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Dynamic stock-bond return correlations and financial market uncertainty

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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

Persistent link: https://www.econbiz.de/10012175486

Beware of the crash risk : tail beta and the cross-section of stock returns in China

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A marked point process model for intraday financial returns : modeling extreme risk

Herrera, Rodrigo; Clements, Adam - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1575-1601

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The impact of unsystematic risk on stock returns in an Emerging Capital Markets (ECM's) country : an empirical study

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