Arbeitspapier
Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 20-01
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Financial Crises
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Thema
-
Asset Pricing
Crash Aversion
Downside Risk
Liquidity Risk
Tail Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ruenzi, Stefan
Ungeheuer, Michael
Weigert, Florian
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ruenzi, Stefan
- Ungeheuer, Michael
- Weigert, Florian
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2020
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