Similar Search Results

Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?

Virk, Nader - 2020

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

Persistent link: https://www.econbiz.de/10012847658

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - 2021

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative...

Persistent link: https://www.econbiz.de/10013240163

The financial strength anomaly in the UK : information uncertainty or liquidity?

Kumsta, René; Vivian, Andrew - In: The European journal of finance 26 (2020) 10, pp. 925-957

Persistent link: https://www.econbiz.de/10012207343

Liquidity, Distress Risk and Asset Pricing Implications

Zou, Qiqi - 2016

measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …

Persistent link: https://www.econbiz.de/10012990993

Risk disclosure, liquidity, and investment efficiency

Smith, Kevin - 2019

reducing liquidity. Furthermore, risk information causes the firm's price to contain more information when its investment …

Persistent link: https://www.econbiz.de/10012065122

Uncertainty Strengthens the Effects of Media Sentiment in the Stock Market

Garbely, Anja - 2022

In this paper, I analyse whether the level of uncertainty in the financial markets affects the previously demonstrated relationship between media sentiment and stock market outcomes. I capture media sentiment by analysing the tone of the textual data from the New York Times stock market column...

Persistent link: https://www.econbiz.de/10014030206

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Persistent link: https://www.econbiz.de/10013147129

Investor Attention and Cryptocurrency Price Crash Risk : A Quantile Regression Approach

Smales, Lee A. - 2021

Motivated by the lure of cryptocurrencies for retail investors, whose concentrated holdings are particularly exposed to price crash risk, we study the relationship between investor attention and crash risk. Adopting a quantile regression approach, we find that the connection is concentrated in...

Persistent link: https://www.econbiz.de/10013323256

Spreading the Fear : The Central Role of CBOE VIX in Global Stock Market Uncertainty

Smales, Lee A. - 2020

Construction of efficient portfolios is reliant on understanding the correlation between assets. If correlations change markedly during times of economic turmoil then investors are exposed to greater than desired risk levels at the most inopportune time. We examine the linkages between global...

Persistent link: https://www.econbiz.de/10012850107

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Smales, Lee A. - 2019

Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...

Persistent link: https://www.econbiz.de/10012867250