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Investors’ valuation for asset liquidity and the corporate-treasury yield spread

Niestroj, Benjamin - In: International journal of economics and finance 6 (2014) 10, pp. 1-16

Persistent link: https://www.econbiz.de/10010421663

Liquidity in up and down markets for asset pricing : evidence from the Taiwan stock market

Shih, Yi-Cheng; Su, Xuan-Qi - In: Asia-Pacific journal of financial studies 45 (2016) 5, pp. 729-754

Persistent link: https://www.econbiz.de/10011630781

Sentiment risk premia in the cross-section of global equity and currency returns

Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2019 - This version: August 28, 2019

Persistent link: https://www.econbiz.de/10012101492

Skewness risk premium : theory and empirical evidence

Lin, Yuehao; Lehnert, Thorsten; Wolff, Christiaan … - In: International review of financial analysis 63 (2019), pp. 174-185

Persistent link: https://www.econbiz.de/10012207438

Heterogenous beliefs with sentiments and asset pricing

Wang, Hailong; Hu, Duni - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-39

Persistent link: https://www.econbiz.de/10014225791

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

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

A simplified measure of investor risk aversion

Grable, John; Kwak, Eun Jin; Fulk, Martha; Routh, Aditi - In: Journal of interdisciplinary economics 34 (2022) 1, pp. 7-34

Persistent link: https://www.econbiz.de/10012794048

Asset classes

Jacquet, Nicolas Laurent - In: Journal of political economy 129 (2021) 4, pp. 1100-1156

Persistent link: https://www.econbiz.de/10012610444

VIX and liquidity premium

Bams, Dennis; Honarvar, Iman - In: International review of financial analysis 74 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012803753

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