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Deflating profitability
Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani; … - In: Journal of financial economics 117 (2015) 2, pp. 225-248
Persistent link: https://www.econbiz.de/10011479890
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Asset pricing with heterogeneous investors and portfolio constraints
Chabakauri, Georgy - 2012
Persistent link: https://www.econbiz.de/10009619941
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Justifying mean-variance portfolio selection when asset returns are skewed
Schuhmacher, Frank; Kohrs, Hendrik; Auer, Benjamin R. - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7812-7824
Persistent link: https://www.econbiz.de/10012815763
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Day long effect of liquidity on stock return : an empirical investigation in a day of political and economic importance in India
Tripathy, Trilochan; Ahluwalia, Eshan - In: International journal of economics and finance 7 (2015) 10, pp. 204-214
Persistent link: https://www.econbiz.de/10011376119
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Capital gains, illiquidity, and stock returns
Lei, Xiaoyan; Zhou, Yuegang; Zhu, Xiaoneng - In: Pacific-Basin finance journal 25 (2013), pp. 273-293
Persistent link: https://www.econbiz.de/10010346740
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Risk, illiquidity or marketability : what matters for the discounts on private equity placements?
Chen, Linda H.; Dyl, Edward A.; Jiang, George J.; … - In: Journal of banking & finance 57 (2015), pp. 41-50
Persistent link: https://www.econbiz.de/10011543760
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Illiquidity exposure of size and value in Malaysian equity returns
Jais, Mohamad; Chandana Gunathilaka - In: The international journal of business and finance … 10 (2016) 2, pp. 81-90
Persistent link: https://www.econbiz.de/10011488096
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Price adjustment method and ex-dividend day returns in a different institutional setting
Asimakopoulos, Panagiotis N.; Tsangarakis, Nickolaos V.; … - In: International review of financial analysis 41 (2015), pp. 1-12
Persistent link: https://www.econbiz.de/10011508534
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Stock Illiquidity, option prices, and option returns
Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016 - Current version: July 2016
We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern … chosen illiquidity measure, the measure of option expensiveness, and the return period. …
Persistent link: https://www.econbiz.de/10011539242
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Parametric yield curve modeling in an illiquid and undeveloped financial market
Zoricic, Davor; Orsag, Silvije - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 243-252
This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...
Persistent link: https://www.econbiz.de/10010222884