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Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?

Levy, Andre - 2016

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Persistent link: https://www.econbiz.de/10013001416

Optimal Hedging Strategies for Options in Electricity Futures Markets

Hess, Markus - 2021

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...

Persistent link: https://www.econbiz.de/10013232821

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Chen, Kexin - 2018

Subsistence consumption and investment problems with bankruptcy are classic constrained stochastic optimal control problem in financial economic, where the consumption rate should be greater than a positive number and the investor faces a bankruptcy payment. We derive novel asymptotic solution...

Persistent link: https://www.econbiz.de/10012911132

The Dynamics of Ex-Ante High-Frequency Liquidity : An Empirical Analysis

Dionne, Georges - 2016

The ex-ante liquidity embedded in an open Limit Order Book (LOB) and its dynamics have been one of the most important … and other exogenous variables on ex-ante liquidity embedded in an open LOB. By taking into account Ultra High Frequency … (UHF) data, our modeling involves decomposing the joint distribution of the ex-ante liquidity measure into simple and …

Persistent link: https://www.econbiz.de/10013000964

Volatility, Distress Risk, and the Cross Section of Returns

Sabbaghi, Omid - 2015

Persistent link: https://www.econbiz.de/10013023281

Financial Distress and Idiosyncratic Volatility : An Empirical Investigation

Chen, Jing - 2010

We investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al (2006) and Campbell et al (2008), respectively. We document...

Persistent link: https://www.econbiz.de/10013149784

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

Persistent link: https://www.econbiz.de/10011632212

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Switzer, Lorne N. - 2016

both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity …

Persistent link: https://www.econbiz.de/10013005204

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets

Deng, Qi; Zhou, Zhong-Guo - 2023

We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding … liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA …-GARCH/EGARCH representation to model the liquidity-adjusted return for individual assets, and a liquidity-adjusted VECM/VAR-DCC/ADCC structure to …

Persistent link: https://www.econbiz.de/10014349884

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Switzer, Lorne N. - 2015

liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

Persistent link: https://www.econbiz.de/10013012477