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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

Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly : Insights from REITs

Price, S. McKay - 2012

This is the first study to examine the post-earnings-announcement drift anomaly in a Real Estate Investment Trust (REIT) context. The efficient markets hypothesis suggests that unexpected earnings should be fully incorporated into asset prices soon after being publicly announced. We hypothesize...

Persistent link: https://www.econbiz.de/10013115972

Climate Risks and Market Efficiency

Hong, Harrison G. - 2017

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each...

Persistent link: https://www.econbiz.de/10012969336

Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45

Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2010

As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio...

Persistent link: https://www.econbiz.de/10011110273

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

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

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

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

Noise traders, firm-specific uncertainty and technical trading effectiveness

Qian, Meifen; Yu, Bin; Zhu, Qianyu - In: Applied economics letters 25 (2018) 13, pp. 918-923

Persistent link: https://www.econbiz.de/10012131127

Macroeconomic surprises, market environment, and safe-haven currencies

Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - In: Swiss Journal of Economics and Statistics 155 (2019) 5, pp. 1-21

We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...

Persistent link: https://www.econbiz.de/10013205771

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