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Essays on stock momentum and asset liquidity

Sadka, Ronnie - 2003

Persistent link: https://www.econbiz.de/10003624563

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

Special issue on asset price dynamics and risk management

Cheung, Yin-Wong (contributor) - 2000

Persistent link: https://www.econbiz.de/10001688733

Corporate financial portfolio and distress risk : forewarned is forearmed

Chen, Xuesheng; Liu, Caixia; Liu, Zhangxin; Huang, Yongkang - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1852-1864

Persistent link: https://www.econbiz.de/10014290327

Liquidity effects in banks’ capital allocation decisions

Alcântara, Wenersamy Ramos de - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 163-170

Persistent link: https://www.econbiz.de/10011306353

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

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

A spread-return mean-reverting model for credit spread dynamics

O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10010364761

Risk-management criteria in the Latin-American stock markets : an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

Lorenzo-Valdés, Arturo; Ruíz-Porras, Antonio - In: International journal of computational economics and … 5 (2015) 4, pp. 430-450

Persistent link: https://www.econbiz.de/10011440889

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

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