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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
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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 … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …
Persistent link: https://www.econbiz.de/10012175486
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Role of hedging on crypto returns predictability : a new habit-based explanation
Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Finance research letters 55 (2023) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014473553
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Uncertainty and sentiments in asset prices
Berardi, Michele - In: Journal of economic behavior & organization : JEBO 202 (2022), pp. 498-516
Persistent link: https://www.econbiz.de/10013552447
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Crises and Uncertainty in the Economy
Ben Ameur, Hachmi (ed.); Ftiti, Zied (ed.);  … - 2022
Monetary Union -- 3. Macroeconomic-Financial Policies And Climate Change Nexus: Theory & Practices -- 4. Exchange Market … the Literature -- 12. How Accurate Are Risk Models During COVID-19 Pandemic Period? -- 13. What Does Matter The Climate … Change Risk On Agriculture Adaptation: Evidence From Southern Mediterranean Country. …
Persistent link: https://www.econbiz.de/10013503483
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Putting the Aumann-Serrano Riskiness Index to work
Nisani, Doron; Shelef, Amit; David, Or - In: Review of accounting & finance 22 (2023) 1, pp. 84-122
Persistent link: https://www.econbiz.de/10014245782
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Effects of risk aversion on securities portfolio performance in underdeveloped capital markets : the case of the capital market of Bosnia and Herzegovina
Zahirović, Sejfudin; Okičić, Jasmina - In: Economic research 29 (2016) 1, pp. 343-359
Persistent link: https://www.econbiz.de/10012221622
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A century of asset allocation crash risk
Samonov, Mikhail; Sorokina, Nonna - In: The journal of asset management : a major new, … 25 (2024) 4, pp. 383-406
Persistent link: https://www.econbiz.de/10014583491
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Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)
Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157
Persistent link: https://www.econbiz.de/10010417168
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Tradeoffs for downside risk-averse decision-makers and the self-protection decision
Denuit, Michel; Eeckhoudt, Louis R.; Liu, Liqun; Meyer, Jack - In: The Geneva risk and insurance review 41 (2016) 1, pp. 19-47
Persistent link: https://www.econbiz.de/10011447270