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Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks
Umlauft, Roland - 2013
This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …
Persistent link: https://www.econbiz.de/10013090386
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Financial Distress and the Value Premium
Fu, Yufen - 2014
The value premium is the empirical observation that low market/book “value” stocks have higher returns than high market/book “growth” stocks. In this paper, we report evidence that there is a value premium for firms in financial distress despite the anomalous observation that firms in...
Persistent link: https://www.econbiz.de/10013069137
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Theory-Based Illiquidity and Asset Pricing
Chordia, Tarun - 2010
have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical …'s (1985) lambda for a comprehensive sample of stocks. The empirical results provide evidence that theory-based estimates of …
Persistent link: https://www.econbiz.de/10013151009
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Credit, Liquidity and the Cross Section of Stock Returns
Zeng, Rui - 2014
I present empirical evidence that the TED spread is a priced risk factor in the cross sectional stock returns. Stocks with higher exposure to the change in the TED spread require higher returns, and the value weighted return difference between the high sensitivity portfolio and the low...
Persistent link: https://www.econbiz.de/10013054197
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A unified model of distress risk puzzles
Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A. - In: Journal of financial economics 146 (2022) 2, pp. 357-384
Persistent link: https://www.econbiz.de/10013482277
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Size-adapted bond liquidity measures and their asset pricing implications
Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443
Persistent link: https://www.econbiz.de/10013482286
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Stock prices, changes in liquidity, and liquidity premia
Lee, Hyun-Tak; Lee, Bong-soo; Jang, Bong-Gyu - In: Finance research letters 48 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013461767
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Default risk premium and asset prices
Corvino, Raffaele; Fusai, Gianluca - In: Journal of financial stability 60 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013455978
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An Equilibrium Model for the Cross-Section of Liquidity Premia
Muhle-Karbe, Johannes; Shi, Xiaofei; Yang, Chen - 2021
feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia …
Persistent link: https://www.econbiz.de/10013242463
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Downside risk and defaultable bond returns
Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110
and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of …
Persistent link: https://www.econbiz.de/10013206142