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Explaining the default risk anomaly by the two-beta model

Yeh, Chung-Ying; Hsu, Junming; Wang, Kai-Li; Lin, Che-Hui - In: Journal of empirical finance 30 (2015), pp. 16-33

Persistent link: https://www.econbiz.de/10011489209

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

Liquidity and asset prices : an empirical investigation of the nordic stock markets

Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705

Persistent link: https://www.econbiz.de/10011408519

Credit, Liquidity and the Cross Section of Stock Returns

Zeng, Rui - 2014

I present empirical evidence that the TED spread is a priced risk factor in the cross sectional stock returns. Stocks with higher exposure to the change in the TED spread require higher returns, and the value weighted return difference between the high sensitivity portfolio and the low...

Persistent link: https://www.econbiz.de/10013054197

Illiquidity contagion and pricing of commonality risk : evidence from a dynamic conditional correlation model

Beyene, Nardos; Huang, Peng; Hueng, C. James - In: Finance research letters 39 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012805167

Downside risk and defaultable bond returns

Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110

and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of …

Persistent link: https://www.econbiz.de/10013206142

Stock extreme illiquidity and the cost of capital

Belkhir, Mohamed; Saad, Mohsen M.; Samet, Anis - In: Journal of banking & finance 112 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012225312

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?

Kaminska, Iryna; Liu, Zhuoshi; Relleen, Jon; … - In: Journal of banking & finance 88 (2018), pp. 76-96

Persistent link: https://www.econbiz.de/10011962585

Pricing of time-varying liquidity risk in Finnish stock market : new evidence

Ahmed, Sheraz; Hirvonen, Jani; Hussain, Syed Mujahid - In: The European journal of finance 25 (2019) 13, pp. 1147-1165

Persistent link: https://www.econbiz.de/10012207067

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