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Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?
Virk, Nader - 2020
A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …
Persistent link: https://www.econbiz.de/10012847658
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Risk Perceptions and International Stock Market Liquidity
Ma, Rui - 2018
determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact … is not subsumed by other well-documented market-level determinants of liquidity. The effect is pervasive, but is stronger … phases of the business cycle, or the way liquidity is measured …
Persistent link: https://www.econbiz.de/10012936098
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Spillover effects between liquidity risks through endogenous debt maturity
Wei, Xu; Xiao, Xiao; Zhou, Yi; Zhou, Yimin - In: Journal of financial markets 64 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014466260
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Global Funding Liquidity, Equity Returns and Crash Risk : Implications for Monetary Policy
Corcoran, Aidan - 2011
financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a …
Persistent link: https://www.econbiz.de/10013131739
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Carry Trade and Liquidity Risk : Evidence from forward and Cross-Currency Swap Markets
Chang, Yang - 2012
This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess … returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk … - violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …
Persistent link: https://www.econbiz.de/10013101415
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
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Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates
Christiansen, Charlotte - 2011
We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We...
Persistent link: https://www.econbiz.de/10013133578
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Currency Returns, Skewness and Crash Risk
Rafferty, Barry - 2012
I identify a global currency skewness risk factor. Currency portfolios that have higher average excess returns co-vary more positively with this risk factor. They suffer losses in bad times for currency investors when high interest rate investment currencies have a greater tendency to depreciate...
Persistent link: https://www.econbiz.de/10013109071
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FX Funding Risks and Exchange Rate Volatility-Korea's Case
Ree, Jack - 2013
This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted …
Persistent link: https://www.econbiz.de/10013089342
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Exchange Rate Determination, Risk Sharing and the Asset Market View
Burnside, A. Craig - 2013
Recent research in international finance has equated changes in real exchange rates with differences between the marginal utility growths of representative agents in different economies. The asset market view of exchange rates, encapsulated in this equation, has been used to gain insights into...
Persistent link: https://www.econbiz.de/10013091372