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Valuing illiquid and "hard to value" assets

Larsen, David L. - In: Journal of securities operations & custody 6 (2014) 3, pp. 234-239

Persistent link: https://www.econbiz.de/10010345138

Equity returns of distressed equity issuers

Park, James L. - In: Finance research letters 14 (2015), pp. 93-103

Persistent link: https://www.econbiz.de/10011552645

Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary … liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only …

Persistent link: https://www.econbiz.de/10013545890

A model for the valuation of assets with liquidity risk

Nauta, Bert-Jan - In: Journal of risk 20 (2017/2018) 2, pp. 85-110

Persistent link: https://www.econbiz.de/10013262953

Illiquidity Premium, Transaction Costs, and Risks of Illiquid Assets

Meng, Ben - 2015

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …

Persistent link: https://www.econbiz.de/10013026578

Does Bond Liquidity Affect Equity Returns?

Anderson, Mike - 2012

I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can …). Moreover, average abnormal returns are significantly related to the improvement in bond liquidity and probability of informed …

Persistent link: https://www.econbiz.de/10013100475

Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

Umlauft, Roland - 2013

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

Persistent link: https://www.econbiz.de/10013090386

Is liquidity risk priced in cryptocurrency markets?

Han, SeungOh - In: Applied economics letters 30 (2023) 17, pp. 2481-2487

Persistent link: https://www.econbiz.de/10014365989

Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis

Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña … - In: International review of economics & finance : IREF 31 (2014), pp. 171-192

Persistent link: https://www.econbiz.de/10010490426

Empirical tests on the liquidity-adjusted capital asset pricing model

Vu, Van; Chai, Daniel; Do, Viet - In: Pacific-Basin finance journal 35 (2015) 1, pp. 73-89

Persistent link: https://www.econbiz.de/10011538103