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The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2021

Persistent link: https://www.econbiz.de/10013188054

Asset price risk, banks and markets

Zhang, Yu - In: Finance research letters 21 (2017), pp. 21-25

Persistent link: https://www.econbiz.de/10011807275

A concave security market line

De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - In: Journal of banking & finance 106 (2019), pp. 65-81

Persistent link: https://www.econbiz.de/10012223950

Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286

Valuing thinly traded assets

Longstaff, Francis A. - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3868-3878

Persistent link: https://www.econbiz.de/10011900055

Bid- and ask-side liquidity in the NYSE limit order book

Cenesizoglu, Tolga; Grass, Gunnar - In: Journal of financial markets 38 (2018), pp. 14-38

Persistent link: https://www.econbiz.de/10012001137

Liquidity risk in credit default swap markets

Junge, Benjamin; Trolle, Anders B. - 2013

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts …

Persistent link: https://www.econbiz.de/10010258589

Investor strategies in the green bond market : the influence of liquidity risks, economic factors and clientele effects

Boutabba, Mohamed Amine; Rannou, Yves - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013375281

Momentum crashes and variations to market liquidity

Butt, Hilal Anwar; Virk, Nader - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1899-1911

Persistent link: https://www.econbiz.de/10013184407

Toward an understanding of market resilience : market liquidity and heterogeneity in the investor decision cycle

Bookstaber, Richard M.; Foley, Michael D.; Tivnan, Brian F. - In: Journal of economic interaction and coordination : JEIC 11 (2016) 2, pp. 205-227

Persistent link: https://www.econbiz.de/10011700963