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Cross-sectional stock returns in the UK market : the role of liquidity risk
Hwang, Soosung; Lu, Chensheng - In: Forecasting expected returns in the financial markets, (pp. 191-213). 2007
Persistent link: https://www.econbiz.de/10003557977
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Size, value, and momentum in developed country equity returns : macroeconomic and liquidity exposures
Cakici, Nusret; Tan, Sinan - In: Journal of international money and finance 44 (2014), pp. 179-209
Persistent link: https://www.econbiz.de/10010391061
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Aggregate distress risk and equity returns
Guo, Hui; Jiang, Xiaowen - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257367
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The Time-Varying Liquidity Risk of Value and Growth Stocks
Akbas, Ferhat - 2010
aggressively than growth stocks. This increase in selling pressure could make value stocks more sensitive to liquidity risk than … risk, combined with the liquidity price of risk, is able to capture 35% of the small-stock value premium and 100% of the …We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have …
Persistent link: https://www.econbiz.de/10013146639
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In search of distress risk in China's stock market
Gao, Li; He, Wei; Wang, Qian - In: Global finance journal 42 (2019), pp. 1-22
Persistent link: https://www.econbiz.de/10012257105
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The time variation of liquidity risk in US stock markets
Ludwig, Michael - In: Credit and capital markets : Kredit und Kapital 51 (2018) 2, pp. 205-225
Persistent link: https://www.econbiz.de/10011946201
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Idiosyncratic volatility, conditional liquidity and stock returns
Malagon, Juliana; Moreno, David; Rodríguez, Rosa - In: International review of economics & finance : IREF 53 (2018), pp. 118-132
Persistent link: https://www.econbiz.de/10011791727
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Does stock market liquidity explain real economic activity? : new evidence from two large European stock markets
Apergēs, Nikolaos; Artikis, Panayiotis G.; Kyriazis, … - In: Journal of international financial markets, … 38 (2015), pp. 42-64
Persistent link: https://www.econbiz.de/10011475161
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Liquidity and conditional market returns : evidence from German exchange traded funds
Czauderna, Katrin; Riedel, Christoph; Wagner, Niklas F. - In: Economic modelling 51 (2015), pp. 454-459
Persistent link: https://www.econbiz.de/10011476124
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Liquidity and Conditional Market Returns : Evidence from German Exchange Traded Funds
Czauderna, Katrin - 2015
higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions …
Persistent link: https://www.econbiz.de/10013014450