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Illiquidity and factor returns : exploring the intersection between illiquidity/small cap and popular factors
Hsu, Jason C.; Viswanathan, Vivek - In: Journal of investment management : JOIM 16 (2018) 4, pp. 4-16
Persistent link: https://www.econbiz.de/10011961002
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The pricing of illiquidity as a characteristic and as risk
Amihud, Yakov; Mendelson, Haim - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 149-168
Persistent link: https://www.econbiz.de/10011434206
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Do financial distress and liquidity crises affect value and size premiums?
Elgammal, Mohammed Mohammed; Bas, Tugba; Gough, Orla; … - In: Applied economics 48 (2016) 37/39, pp. 3734-3751
Persistent link: https://www.econbiz.de/10011621164
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Asset pricing with cohort-based trading in MBS markets
Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021
Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...
Persistent link: https://www.econbiz.de/10012240625
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …
Persistent link: https://www.econbiz.de/10010224773
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Strategic debt service
Mella-Barral, Pierre - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 531-556
Persistent link: https://www.econbiz.de/10001222443
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The Epstein-Zin model with liquidity extension
Liu, Weimin; Luo, Di; Zhao, Huainan - In: The financial review : the official publication of the … 51 (2016) 1, pp. 113-146
Persistent link: https://www.econbiz.de/10011436806
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Liquidity skewness premium
Jeong, Giho; Kang, Jangkoo; Kwon, Kyungyoon - In: The North American journal of economics and finance : a … 46 (2018), pp. 130-150
Persistent link: https://www.econbiz.de/10012036613
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Market volatility and stock returns : the role of liquidity providers
Chung, Kee H.; Chuwonganant, Chairat - In: Journal of financial markets 37 (2018), pp. 17-34
Persistent link: https://www.econbiz.de/10012001008
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A unified model of distress risk puzzles
Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - 2019
We build a dynamic model to link two empirical patterns:\ the negative failure probability-return relation (Campbell, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We show analytically and quantitatively that (i)...
Persistent link: https://www.econbiz.de/10012065129