Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Stefan Ruenzi, Michael Ungeheuer, Florian Weigert
| Year of publication: |
2020
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|---|---|
| Authors: | Ruenzi, Stefan ; Ungeheuer, Michael ; Weigert, Florian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 115.2020, p. 1-31
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| Subject: | Asset pricing | Crash aversion | Downside risk | Liquidity risk | Tail risk | Kapitaleinkommen | Capital income | Finanzkrise | Financial crisis | CAPM | Risiko | Risk | Liquidität | Liquidity | Risikomaß | Risk measure | Risikoprämie | Risk premium | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikoaversion | Risk aversion | Kapitalmarktrendite | Capital market returns | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105809 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012489163