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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
This study extends the Grullon, Michaely and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in default risk. This reduction is shown to be a priced...
Persistent link: https://www.econbiz.de/10014192535
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors … fails to generate any significant returns when liquidity risk is accounted for. Our work helps understand the beta premium … from a new liquidity-risk perspective, and draws useful implications for both fund and corporate managers …
Persistent link: https://www.econbiz.de/10012857776
We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …
Persistent link: https://www.econbiz.de/10012854783
Persistent link: https://www.econbiz.de/10013410674
measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …
Persistent link: https://www.econbiz.de/10012990993
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
Persistent link: https://www.econbiz.de/10009660495
We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...
Persistent link: https://www.econbiz.de/10012890609