We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in …We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

This paper examines the implications for risk taking in an emerging stock market, viz., Pakistan Stock Exchange (PSX … assumptions and can estimate the elasticities across the risk spectrum. The empirical findings suggest that the elasticities, viz …., betas, are significant across quantiles. It implies that the risk-return relationship behaves differently when the …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility, increases risk premia on asset prices and yields a new benefit from …

The purpose of this paper is to determine a practical approach of calculation of the systematic risk of companies in … risk index are determined. In this work on the Polish financial market are also carried out simulations showing the impact …. The defined scope for the use of the recommended method of calculating the risk index allows us to reduce the error …

risk of bankruptcy are able to meet their short-term liabilities. Liquidity and solvency measured by financial ratios …The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is …