The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing...

We investigate the pricing of market volatility risk as a risk factor ndash; the innovation risk and as a characteristic risk ndash; the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust across 21 developed markets and that the global...

The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing...

We show that market sentiment shocks create demand shocks for risky assets and a systematic risk for assets. We measure a market sentiment shock as the unexpected portion of the University of Michigan Consumer Sentiment Index's growth. This shock prices stock returns in Arbitrage Pricing Theory...