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

S. Ruenzi, M. Ungeheuer, F. Weigert

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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Year of publication:	2020 ; This version: January 2020
Authors:	Ruenzi, Stefan ; Ungeheuer, Michael ; Weigert, Florian
Publisher:	Cologne : Centre for Financial Research
Subject:	Asset Pricing \| Crash Aversion \| Downside Risk \| Liquidity Risk \| Tail Risk \| Finanzkrise \| Financial crisis \| Theorie \| Theory \| Risiko \| Risk \| CAPM \| Liquidität \| Liquidity \| Kapitaleinkommen \| Capital income \| Risikoprämie \| Risk premium \| Risikoaversion \| Risk aversion \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Börsenkurs \| Share price \| Finanzmarkt \| Financial market \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (circa 93 Seiten) Illustrationen
Series:	Working paper / Centre for Financial Research. - Köln : CFR, ZDB-ID 2458327-3. - Vol. no. 20, 01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/214887 [Handle]
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; G01 - Financial Crises ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012175486