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Liquidity risk, return performance, and tracking error : synthetic vs. physical ETFs
Kim, Marco Jinhwan; Cho, Hoon; Seok, Sangik - In: Journal of international financial markets, … 89 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014490179
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Liquidity and conditional market returns : evidence from German exchange traded funds
Czauderna, Katrin; Riedel, Christoph; Wagner, Niklas F. - In: Economic modelling 51 (2015), pp. 454-459
Persistent link: https://www.econbiz.de/10011476124
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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Liquidity risk of corporate bond returns : conditional approach
Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386
Persistent link: https://www.econbiz.de/10010208670
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Relationship between risk management and financial performance of Nepalese commercial banks
Maharjan, Sujata - In: Nepalese journal of economics : a publication of … 3 (2019) 1, pp. 153-164
Persistent link: https://www.econbiz.de/10013204484
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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
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Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns
Broman, Markus S. - 2016
shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …
Persistent link: https://www.econbiz.de/10013007326
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Liquidity risk and exchange-traded fund returns, variances, and tracking errors
Bae, Kyounghun; Kim, Daejin - In: Journal of financial economics 138 (2020) 1, pp. 222-253
Persistent link: https://www.econbiz.de/10012631970
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Liquidity, style investing and excess comovement of exchange-traded fund returns
Broman, Markus S. - In: Journal of financial markets 30 (2016), pp. 27-53
Persistent link: https://www.econbiz.de/10011722252
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Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?
Virk, Nader - 2020
A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …
Persistent link: https://www.econbiz.de/10012847658