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Volatility measures, liquidity and credit loss provisions during periods of financial distress
Anselmi, Giulio - In: Journal of financial management, markets and institutions 6 (2018) 2, pp. 1850006-20
Persistent link: https://www.econbiz.de/10011960226
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The liquidity crisis, investor sentiment, and REIT returns and volatility
Huerta, Daniel; Egly, Peter V.; Escobari, Diego - 2015 - Version: November 2015
The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on … REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …
Persistent link: https://www.econbiz.de/10011402963
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DeFi liquidations : Volatility and liquidity
Sasi-Brodesky, Ana - 2023
indirectly indicate that liquidators require market liquidity to carry out large liquidations and affect market conditions while …
Persistent link: https://www.econbiz.de/10014435967
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Credit market competition and liquidity crises
Carletti, Elena; Leonello, Agnese - In: Review of finance : journal of the European Finance … 23 (2019) 5, pp. 855-892
Persistent link: https://www.econbiz.de/10012120579
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Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach
Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56
systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …
Persistent link: https://www.econbiz.de/10013169857
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Macroeconomic Volatility : Dynamic Futures Hedging Strategies
Animante, David - 2016
Economic instability in emerging countries has often been attributed to countercyclical fiscal policy. The problem is further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a favourite policy response, has been both costly and...
Persistent link: https://www.econbiz.de/10012998125
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Structural contagion and vulnerability to unexpected liquidity shortfalls
Giansante, Simone; Chiarella, Carl; Sordi, Serena; … - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 558-569
Persistent link: https://www.econbiz.de/10009698002
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Bitcoin and liquidity risk diversification
Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819160
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Funding liquidity risk and the volatility of US municipal green bonds during the COVID-19 pandemic
Kocaarslan, Baris - In: Finance research letters 58 (2023) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10014632162
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The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility
Huerta, Daniel - 2016
The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on … REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …
Persistent link: https://www.econbiz.de/10013002792