Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian

Journal of banking & finance, June 2020, 2020-06-00, Letnik: 115

Journal Article

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 extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is lowest when market liquidity is lowest.

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Ruenzi, Stefan | Ungeheuer, Michael | Weigert, Florian

Dostop do baze podatkov JCR je dovoljen samo uporabnikom iz Slovenije. Vaš trenutni IP-naslov ni na seznamu dovoljenih za dostop, zato je potrebna avtentikacija z ustreznim računom AAI.

Leto	Faktor vpliva		Izdaja		Kategorija		Razvrstitev
Leto	JCR	SNIP	JCR	SNIP	JCR	SNIP	JCR	SNIP

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Dodajanje gradiva na polico je uspelo.

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