are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time … volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last …

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … implied oil market volatility negatively affect stocks, this effect is significantly asymmetric, and declining oil market … liquidity predicts declining stock prices …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's returns for a sample of … both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample … liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility … (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other … that this premium is driven by liquidity in the prior month after correcting returns for microstructure noise. The pricing …

funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding … liquidity and the COVID-19 pandemic interacts positively with stock market returns. The findings were irrational to the … the negative impact of the witnessed spike in COVID-19 cases. The revelation that funding liquidity contrary to theory …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …

flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …