Emerging markets share many distinct features that separate them from more developed markets, including low liquidity and high commonality in liquidity. This study on 18 emerging markets finds that individual stock liquidity is more affected by systematic volatility than by idiosyncratic...

Using the uniqueness of Hong Kong regulations on short selling, I find that the CAPM, the Fama-French Three-Factor and the Four-Factor model fare significantly better in capturing the cross-section of expected returns on the stocks which are shortable than the stocks which are not. The results...

We explore the impact of equity liquidity, leverage deviation and target instability on a firm’s dynamic leverage adjustments in the UK market by using a large sample of daily data over the period from 1996 to 2016. Our analyses document that the firm’s equity liquidity has a positive impact...