Arbeitspapier
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of illiquidity, volatility and returns widen following funding shocks. Funding risk is priced, generating a returns spread of 4.25 percent (annually) between the most and least illiquid portfolios, and of 5.30 percent between the most and least volatile portfolios. Estimates are robust using mimicking portfolio returns, alternative portfolio sorts, traditional test assets, other risk factors, monthly returns or quarterly returns.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2015-12
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Crisis Management
- Subject
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Asset pricing
Financial markets
- Event
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Geistige Schöpfung
- (who)
-
Fontaine, Jean-Sébastien
Garcia, René
Gungor, Sermin
- Event
-
Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2015
- DOI
-
doi:10.34989/swp-2015-12
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fontaine, Jean-Sébastien
- Garcia, René
- Gungor, Sermin
- Bank of Canada
Time of origin
- 2015
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