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Economic policy uncertainty and illiquidity return premium

Hsieh, Hui-Ching; Van Quoc Thinh Nguyen - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012667370

Stock liquidity and default risk

Brogaard, Jonathan; Li, Dan; Xia, Ying - In: Journal of financial economics 124 (2017) 3, pp. 486-502

Persistent link: https://www.econbiz.de/10011751480

Is illiquidity risk priced? : the case of the Polish medium-size emerging stock market

Olbryś, Joanna - In: Bank i kredyt 45 (2014) 6, pp. 513-535

Persistent link: https://www.econbiz.de/10010481215

The price effects of liquidity shocks : a study of the SEC’s tick size experiment

Albuquerque, Rui; Song, Shiyun; Yao, Chen - In: Journal of financial economics 138 (2020) 3, pp. 700-724

Persistent link: https://www.econbiz.de/10012653132

Stock returns with consumption and illiquidity risks

Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74

Persistent link: https://www.econbiz.de/10010431504

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013282487

Asset pricing with downside liquidity risks

Anthonisz, Sean A.; Putniņš, Tālis J. - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2549-2572

Persistent link: https://www.econbiz.de/10011741402

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

Are conditional illiquidity risks priced in China? : a cross-sectional test

Su, Zhi; Lyu, Tongtong; Yin, Libo - In: International review of financial analysis 81 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013395949

Does stock liquidity affect bankruptcy risk? : DID analysis from Vietnam

Hai Hong Trinh; Nguyen Phuc Canh; Wei, Hao; Wongchoti, … - In: Pacific-Basin finance journal 69 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013369865

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