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Stock Extreme Illiquidity and the Cost of Capital

Belkhir, Mohamed - 2018

suffer from higher cost of capital. A one standard deviation increase in a stock's liquidity tail index leads to a rise of 30 … extreme liquidity risk and extends to alternative cost-percent liquidity proxies. We further find that this relation is …

Persistent link: https://www.econbiz.de/10012922232

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

Persistent link: https://www.econbiz.de/10012175486

Extreme Liquidity Risk, Its Premium from Market Downturns, and the Cross-Section of Stock Returns

Noh, Joonki - 2014

I construct a measure of the extreme liquidity risk factor based on the contraction and expansion of monthly cross …) that the extreme liquidity risk is priced in the cross-section of expected stock returns and (2) that its premium comes … only from market-downturn loadings. The extreme liquidity risk commands an annual premium of 3.3% for one standard …

Persistent link: https://www.econbiz.de/10013060595

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993

This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011994544

Estimation Risk, Learning and the Equity Premium

Gvozdeva, Evgenia - 2011

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty about both the first and second moments of consumption and dividend growth rates. For the 1891-2007 period, our model generates a sizable average annual equity premium,...

Persistent link: https://www.econbiz.de/10013130393

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011756113

Firm size and stock returns : a meta-analysis

Astakhov, Anton; Havránek, Tomáš; Novák, Jiri - 2017

A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock of the voluminous academic literature on the size...

Persistent link: https://www.econbiz.de/10011716607

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …

Persistent link: https://www.econbiz.de/10012907181

Expected stock returns worldwide : a log-linear present-value approach

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

Persistent link: https://www.econbiz.de/10011931329

Conditional Skewness in Asset Pricing : 25 Years of Out-of-Sample Evidence

Harvey, Campbell R.; Siddique, Akhtar R. - 2022

Much attention is paid to portfolio variance, but skewness is also important for both portfolio design and asset pricing. We revisit the empirical research on systematic skewness that we initiated 25 years ago. In an out-of-sample test, we find that the risk premium associated with skewness is...

Persistent link: https://www.econbiz.de/10013288865