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Warusawitharana, Missaka - 2006

Persistent link: https://www.econbiz.de/10003908769

Day long effect of liquidity on stock return : an empirical investigation in a day of political and economic importance in India

Tripathy, Trilochan; Ahluwalia, Eshan - In: International journal of economics and finance 7 (2015) 10, pp. 204-214

Persistent link: https://www.econbiz.de/10011376119

Equity returns of distressed equity issuers

Park, James L. - In: Finance research letters 14 (2015), pp. 93-103

Persistent link: https://www.econbiz.de/10011552645

Illiquidity and stock returns

Mooradian, Robert M. - In: Review of applied economics 16 (2020) 1/2, pp. 31-49

Persistent link: https://www.econbiz.de/10012670439

Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

Persistent link: https://www.econbiz.de/10013545890

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model : Evidence from the Hong Kong Stock Market

Nartea, Gilbert - 2011

We use Hong Kong stock market data from 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium...

Persistent link: https://www.econbiz.de/10013132723