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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

Interbank Network Characteristics, Monetary Policy ‘News’ and Sensitivity of Bank Stock Returns

Mahdavi Ardekani, Aref - 2020

This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices...

Persistent link: https://www.econbiz.de/10012843874

Global Funding Liquidity, Equity Returns and Crash Risk : Implications for Monetary Policy

Corcoran, Aidan - 2011

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a …

Persistent link: https://www.econbiz.de/10013131739

The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods

Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Persistent link: https://www.econbiz.de/10012039605

In Search of Liquidity Risk in Bank Stock Returns

Boualam, Yasser - 2020

We document that higher measures of liquidity risk on banks balance sheets are associated with lower expected stock … returns. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG), which reflects how much of a … augmented with bond risk, market liquidity, and financial-size factors -- do not fully explain the cross section of bank stock …

Persistent link: https://www.econbiz.de/10012854718

A dynamic theory of mutual fund runs and liquidity management

Zeng, Yao - 2017

I model an open-end mutual fund investing in illiquid assets and show that the fund's endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t + 1 after outflows at t to prevent future forced sales of illiquid...

Persistent link: https://www.econbiz.de/10011976823

Impact of monetary policy instrument on profitability of Nepalese commercial banks

Pradhan, Radhe S.; Shahi, Bhumika; Timilsina, Asmita; … - In: Nepalese journal of finance : a publication of Uniglobe … 6 (2019) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10014494043

Evolution of Monetary Mechanism in the U.S : The Role of Asset Returns

Simo-Kengne, Beatrice - 2016

This paper investigates whether changes in the monetary transmission mechanism as captured by the interest rate respond to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and employ a TVP-VAR approach with stochastic volatility to...

Persistent link: https://www.econbiz.de/10013007288

Asset returns and financial fragility

Li, Yang - 2016

What configuration of asset returns will make the banking system most susceptible to a self-fulfilling run? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship between the returns on...

Persistent link: https://www.econbiz.de/10011444259

On monetary policy and stock market anomalies

Kontonikas, Alexandros; Kostakis, Alexandros - In: Journal of business finance & accounting : JBFA 40 (2013) 7/8, pp. 1009-1042

Persistent link: https://www.econbiz.de/10010205968

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