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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

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....

Persistent link: https://www.econbiz.de/10012175486

Self-exciting extreme value models for stock market crashes

Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009

Persistent link: https://www.econbiz.de/10003781013

On the measurement of the international propagation of shocks: is the transmission stable?

Rigobón, Roberto - In: Journal of international economics 61 (2003) 2, pp. 261-283

Persistent link: https://www.econbiz.de/10001815790

On the measurement of the international propagation of shocks

Rigobón, Roberto - 1999

Persistent link: https://www.econbiz.de/10001418703

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from …

Persistent link: https://www.econbiz.de/10010468362

The effect of global crises on momentum profitability : evidence from the Indian stock market

Maheswari, Supriya; Dhankar, Raj S. - In: Vision : the journal of business perspective 21 (2017) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10011707923

Crash aversion and extreme dependence structures in asset pricing

Weigert, Florian - 2013

Persistent link: https://www.econbiz.de/10010191721

Relative risk aversion and the transmission of financial crises

Boschi, Melisso; Goenka, Aditya - In: Journal of economic dynamics & control 36 (2012) 1, pp. 85-99

Persistent link: https://www.econbiz.de/10009422352

The economic consequences of labor unionization : evidence from stock price crash risk

Chen, Jun; Tong, Yixing; Wang, Wenming; Zhang, Feida - In: Journal of business ethics : JOBE 157 (2019) 3, pp. 775-796

Persistent link: https://www.econbiz.de/10012031172

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