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The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market : a Kalman filter approach

Antoniou, Antonios; Galariotis, Emilios C.; Spyrou, … - In: Applied financial economics 16 (2006) 18, pp. 1317-1329

Persistent link: https://www.econbiz.de/10003397207

Short-selling risk in Australia

Ang, Tze Chuan; Hayat, Aziz; Li, Bob - In: Pacific-Basin finance journal 63 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012493831

Three essays on liquidity risk

Perilla, Augusto - 2008

Persistent link: https://www.econbiz.de/10003778666

Distribution-invariant risk measures, information, and dynamic consistency

Weber, Stefan - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 419-441

Persistent link: https://www.econbiz.de/10003326030

The value of tradeability

Chesney, Marc; Kempf, Alexander - 2010

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

Persistent link: https://www.econbiz.de/10008666521