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Liquidity and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820574

Stock returns with consumption and illiquidity risks

Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74

Persistent link: https://www.econbiz.de/10010431504

Do emerging stock markets offer an illiquidity premium for local or global investors?

Butt, Hilal Anwar; Demirer, Rıza; Sadaqat, Mohsin; … - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 502-515

Persistent link: https://www.econbiz.de/10014249181

Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market

Hsu, Ching-Chi; Wei, An-Pin; Chen, Miao-Ling - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012665989

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

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2016

Persistent link: https://www.econbiz.de/10011458739

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

Persistent link: https://www.econbiz.de/10012895183

The time variation of liquidity risk in US stock markets

Ludwig, Michael - In: Credit and capital markets : Kredit und Kapital 51 (2018) 2, pp. 205-225

Persistent link: https://www.econbiz.de/10011946201

Asset pricing anomalies : liquidity risk hedgers or liquidity risk spreaders?

Virk, Nader; Butt, Hilal Anwar - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013410674

Regime dependent dynamics and European stock markets : is asset allocation really possible?

Ahmad, Wasim; Bhanumurthy, N. R.; Sehgal, Sanjay - In: Empirica : journal of european economics 42 (2015) 1, pp. 77-107

Persistent link: https://www.econbiz.de/10011318430