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Stuck on the Road : Traffic Congestion and Stock Returns
Imisiker, Serkan - 2019
Experimental research in psychology has found a strong negative association between traffic congestion and stress levels of commuters. Here, we investigate the consequences of morning traffic congestion on stock returns. Using traffic data and stock market returns from New York City and London,...
Persistent link: https://www.econbiz.de/10012902151
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Decomposing short-term return reversal
Da, Zhi; Liu, Qianqiu; Schaumburg, Ernst - 2011
than previously documented, and driven by investor sentiment on the short side and liquidity shocks on the long side …. -- return reversal ; liquidity …
Persistent link: https://www.econbiz.de/10009300008
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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
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Decomposing Short-Term Return Reversal
Da, Zhi - 2011
than previously documented, and driven by investor sentiment on the short side and liquidity shocks on the long side …
Persistent link: https://www.econbiz.de/10013120611
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Noise, Beliefs, and Momentum
Jordan, Steven J. - 2013
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438
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Differential Awareness of Rare Disasters and the Pricing Kernel Puzzle
Siddiqi, Hammad - 2017
Risk-averse expected utility maximization implies that the pricing kernel must be a non-increasing function of aggregate wealth. However, empirical research has found that the pricing kernel frequently displays a locally increasing portion in aggregate wealth. This is known as the pricing kernel...
Persistent link: https://www.econbiz.de/10012969310
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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
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How much for a haircut? : illiquidity, secondary markets, and the value of private equity
Bollen, Nicolas P. B.; Sensoy, Berk A. - 2016
Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...
Persistent link: https://www.econbiz.de/10011772208
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An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …
Persistent link: https://www.econbiz.de/10003937808
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Default and Idiosyncratic Risk Anomalies Revisited
Bick, Björn - 2011
This paper studies the default anomaly that has been documented in the literature. We show that after controlling for the default-risk premium the default anomaly disappears. In contrast, controlling for credit spreads does not fully eliminate the anomaly. We also relate our results to the IVOL...
Persistent link: https://www.econbiz.de/10013118444