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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 … 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 …
Persistent link: https://www.econbiz.de/10012175486
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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
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A puzzle of excessive equity risk premium and the case of Poland
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 1-11
The article presents a historical review of the literature related to the empirical problem of excessive risk premium …. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot …
Persistent link: https://www.econbiz.de/10011539760
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Endogenous time-varying risk aversion and asset returns
Berardi, Michele - In: Journal of evolutionary economics : JEE 26 (2016) 3, pp. 581-601
Persistent link: https://www.econbiz.de/10011561935
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The short trading day anomaly
Qadan, Mahmoud; Kliger, Doron - In: Journal of empirical finance 38 (2016), pp. 62-80
Persistent link: https://www.econbiz.de/10011663224
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The role of political uncertainty in Australian financial markets
Smales, Lee A. - In: Accounting and finance : journal of the Accounting … 56 (2016) 2, pp. 545-575
Persistent link: https://www.econbiz.de/10011585993
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Political uncertainty and financial market reactions : a new test
Wang, Huiqiang; Boatwright, Annie L. - In: International economics : a journal published by CEPII … 160 (2019), pp. 14-30
Persistent link: https://www.econbiz.de/10012318856
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Uncertainty and sentiments in asset prices
Berardi, Michele - In: Journal of economic behavior & organization : JEBO 202 (2022), pp. 498-516
Persistent link: https://www.econbiz.de/10013552447
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The news effect of COVID-19 on global financial market volatility
Haldar, Anasuya; Sethi, Narayan - In: Bulletin of monetary economics and banking 24 (2021), pp. 33-58
Persistent link: https://www.econbiz.de/10012583996
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A model of cycles and bubbles under heterogeneous beliefs in financial markets
Burs, Carina - In: Cogent economics & finance 11 (2023) 2, pp. 1-29
I study the effect of heterogeneous beliefs about asset prices on the long-term behavior of financial markets. Starting from the ideas of Abreu and Brunnermeier (2003), a two-dimensional system of differential equations is developed. The first dynamic variable is the asset price growth rate. The...
Persistent link: https://www.econbiz.de/10014501110