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rationed when they attempt to borrow in order to meet liquidity shocks. The rationed firms can optimally pledge cash as …-in-the-market pricing and depends on the entire distribution of liquidity shocks in the economy. As moral hazard intensity varies … market and funding liquidity and deep discounts observed in prices during crises that follow good times. …
Persistent link: https://www.econbiz.de/10005661905
, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …
Persistent link: https://www.econbiz.de/10011184076
preference and risk parameters in the model can be identified, even when productivity risk varies over time, given panel data on …, both over the life-cycle and across time, into cross-sectional variation in preferences, uninsurable wage risk, insurable … wage risk, and measurement error. …
Persistent link: https://www.econbiz.de/10005114147
This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …
Persistent link: https://www.econbiz.de/10011096103
The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a … bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be … that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show …
Persistent link: https://www.econbiz.de/10005067591
This Paper solves explicitly a simple equilibrium asset pricing model with liquidity risk – the risk arising from … various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security’s required return …
Persistent link: https://www.econbiz.de/10005791242
overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …
Persistent link: https://www.econbiz.de/10005791996
constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily …
Persistent link: https://www.econbiz.de/10005124287
a housing bubble in a context of rapid credit expansion, high risk-taking and exacerbated financial leverage, leading to …
Persistent link: https://www.econbiz.de/10008468635
the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …
Persistent link: https://www.econbiz.de/10011083953