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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …
Persistent link: https://www.econbiz.de/10011455379
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...
Persistent link: https://www.econbiz.de/10012592791
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures … basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10014025359
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Investor Sentiment and Market-Wide Liquidity Pricing
Yaakoubi, Soumaya - 2022
The recent asset pricing evidence on the return-liquidity risk relationship is mixed and somewhat ambiguous. We re …-evaluate the importance of market-wide liquidity and liquidity risk for equity pricing by taking the role of investor sentiment … into account. Regarding the market-wide liquidity level as a systematic factor, we find that high market sentiment tends to …
Persistent link: https://www.econbiz.de/10013308159
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Validity of Capital Assets Pricing Model : Evidence from KSE-Pakistan
Bhatti, Uzair - 2014
Capital Assets Pricing Model (CAPM) is the widely tested, accepted and rejected model of asset pricing. From its beginning (1964) it has occupied the prime place and still part of the text books on finance in leading business schools. This study is conducted in Pakistani institutional frame work...
Persistent link: https://www.econbiz.de/10013070329
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The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas
Hollstein, Fabian - 2019
When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as 3 out of 6 of the anomaly component excess...
Persistent link: https://www.econbiz.de/10012892813
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Stability in the ISE : Betas for Stocks and Portfolios
Oran, Adil - 2010
In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study...
Persistent link: https://www.econbiz.de/10013147415
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Asset Prices and Capital Share Risks : Theory and Evidence
Byrne, Joseph - 2020
Pricing of capital share risks provides a novel link between macroeconomicsand finance. Our paper adopts the Epstein-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model that extends Lettau et al.'s (2019) capital share...
Persistent link: https://www.econbiz.de/10012828544