This paper assesses the explanatory power of the liquidity-risk-based pricing models relative to the Fama-French three-factor model (FF3) and the extensions to the FF3. We find that the liquidity-augmented capital asset pricing model (LCAPM) performs no worse but generally better than other...

This paper aims to investigate the effect of credit risk, liquidity risk and bank capital on bank profitability over a nine-year period (2010-2018) by examining empirical evidence from an emerging market. This study is grounded on econometric panel data using GMM methods. The results indicate...

Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study is the first to explain idiosyncratic concepts through an information environment approach and an examination of information asymmetry. This study aims to analyze the phenomenon of...

This study sheds light on risk exposures of cooperative banks in Austria, Germany and Italy. We investigate how major risk elements of banks in these countries have evolved over time, across countries and institutions. Cooperative banks’ exposure to risk is analyzed looking at aggregate risk...

The influence of liquidity costs and liquidity risk on asset returns has been proven by several empirical studies. This paper analyzes the conditional version of the liquidity-adjusted capital asset pricing model and shows that betas significantly vary over different economic regimes and that...

The liquidity stress test (LiST) 2019 by the European Central Bank (ECB) examines the liquidity situation of banks, which is novel at the European level. Therefore, a well-founded empirical analysis is necessary to derive implications for the capital market. This paper investigates the impact on...

The paper aim to examine the impact of foreign ownership and national governance quality on liquidity risk in Vietnam's listed commercial banks from 2010 to 2021, covering the COVID-19 outbreak. Using the two-step generalized method of moments regression model (GMM), the findings indicate that...

As liquidity problems of some banks during global financial crisis reemphasized, liquidity is very important for functioning of financial markets and the banking sector. The aim of this paper is therefore to evaluate comprehensively the liquidity positions of Polish commercial banks via five...

Classical financial market theories built upon the assumption of a perfect market have been coping with frictions on both developed and emerging markets. There are numerous factors affecting the operation of financial markets and their participants' behavior, but illiquidity is a continuous...

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks' capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...