We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … funds and investors just break even, equilibrium liquidity premia are defined as the risk-adjusted excess returns that fund …

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing … research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …