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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …
Persistent link: https://www.econbiz.de/10014307488
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The effects of uncertainty on market liquidity : evidence from hurricane Sandy
Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …
Persistent link: https://www.econbiz.de/10011844658
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Macroeconomic Uncertainty and Predictability of Real Estate Returns : The Impact of Asset Liquidity
Nayar, Nandkumar; Price, S. McKay; Shen, Ke - 2023
commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …
Persistent link: https://www.econbiz.de/10014350917
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Uncertainty Elasticity of Liquidity and Expected Stock Returns in China
Sun, Ping-Wen - 2015
We examine the uncertainty elasticity of liquidity (UEL: percentage change in the individual stock's liquidity given … for the liquidity risk. Finally, on average, stocks' UEL is higher when the stock market return is lower …
Persistent link: https://www.econbiz.de/10013030699
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Amplification of Uncertainty in Illiquid Markets
Albagli, Elias - 2011
This paper argues that the capacity of financial markets to aggregate dispersed information about economic conditions is diminished in times of distress, resulting in countercyclical uncertainty. Building on a rational expectations equilibrium dynamic environment, I model informed traders as...
Persistent link: https://www.econbiz.de/10013128328
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The Effect of Information Quality on Liquidity Risk
Ng, Jeffrey - 2013
I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and …
Persistent link: https://www.econbiz.de/10013093674
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Low inflation : high default risk AND high equity valuations
Bhamra, Harjoat Singh; Dorion, Christian; Jeanneret, … - 2018
We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two...
Persistent link: https://www.econbiz.de/10011941263
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The Duration of Foreclosures in the Subprime Mortgage Market : A Competing Risks Model with Mixing
Pennington-Cross, Anthony - 2008
show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the …
Persistent link: https://www.econbiz.de/10014058550
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The Duration of Foreclosures in the Subprime Mortgage Market : A Competing Risks Model with Mixing
Pennington-Cross, Anthony - 2011
show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the …
Persistent link: https://www.econbiz.de/10013134216
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Restrictions on risk prices in dynamic term structure models
Bauer, Michael D. - 2015
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...
Persistent link: https://www.econbiz.de/10010491726