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Cash flow and financial distress of private listed enterprises on the Vietnam stock market : a quantile regression approach

Thuy Duong Phan; Thi Thanh Hoang; Ngoc Mai Tran - In: Cogent business & management 9 (2022) 1, pp. 1-13

The study evaluates the influence of cash flow on the financial distress of private listed enterprises on the Vietnamese stock market from 2010 to 2020. We use the data collected from the financial statements of 263 private non-financial enterprises listed on the Ho Chi Minh and Hanoi stock...

Persistent link: https://www.econbiz.de/10014436294

State-dependent stock liquidity premium : the case of the Warsaw stock exchange

Stereńczak, Szymon - In: International Journal of Financial Studies : open … 8 (2020) 1/13, pp. 1-24

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar …-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging … Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction …

Persistent link: https://www.econbiz.de/10012238765

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …

Persistent link: https://www.econbiz.de/10013272630

Stock liquidity and corporate trade credit strategies : evidence from China

Shahzad, Umeair; Liu, Jing; Luo, Fukai - In: Journal of business economics and management 23 (2022) 1, pp. 40-59

This study investigates the nexus of stock liquidity and trade-credit policies in China from 2002 to 2017. The … liquidity significantly impacts firms' capacity to produce more trade credit supplies and less reliant on trade credit demand … liquidity and trade credit strategies is substantial in state-owned enterprises. Additional analysis revealed that the said …

Persistent link: https://www.econbiz.de/10013258463

Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange

Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220

The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency …

Persistent link: https://www.econbiz.de/10012303197

Size effect in market-wide liquidity commonality : evidence from the Indian stock market

Cheriyan, Namitha K.; Lazar, Daniel - In: Organizations and markets in emerging economies 10 (2019) 2, pp. 335-355

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …

Persistent link: https://www.econbiz.de/10012193362

The short-term mean reversion of stock price and the change in trading volume

Jung, Woosung; Kang, Mhin - In: Journal of derivatives and quantitative studies : … 29 (2021) 3, pp. 190-214

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also...

Persistent link: https://www.econbiz.de/10012658724

Does a search attention index explain portfolio returns in India?

Dharani, Munusamy; Hassan, M. Kabir; Abedin, Mohammad Zoynul - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

Persistent link: https://www.econbiz.de/10013183936

Foreign equity flows and stock market liquidity in Kenya

Ochenge, Rogers; Ngugi, Rose W.; Muriu, Peter - In: Cogent economics & finance 8 (2020) 1, pp. 1-29

In this paper, we explore the dynamic relationship between aggregate foreign equity inflows and aggregate liquidity of … the Kenyan stock market using transactional foreign trading data and several liquidity measures. We employ vector … autoregression with monthly gross foreign inflows, local stock market liquidity and returns over the period 2011-2018. We discover a …

Persistent link: https://www.econbiz.de/10012482846

A new method for estimating liquidity and stock returns in Indian stock market

Sethy, Tapas Kumar; Tripathy, Nalini Prava - In: China Accounting and Finance Review 26 (2024) 2, pp. 253-275

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

Persistent link: https://www.econbiz.de/10014555463