Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

We construct a risk adjusted version of return reversal within the US stock universe, which we name idiosyncratic Z score (IZ). Stock ranking in the IZ portfolios is based on the ratio of individual stocks' idiosyncratic return and its idiosyncratic risk. We link IZ with the stocks' demand...