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

被引：7
|
作者：
Ruenzi, Stefan [1 ]
Ungeheuer, Michael [2 ]
Weigert, Florian [3 ,4 ]
机构：
[1] Univ Mannheim, Chair Int Finance, L9,1-2, Mannheim 68131, Germany
[2] Aalto Univ, Dept Finance, POB 21210, Aalto 000765, Finland
[3] Univ Neuchatel, Inst Financial Anal, Rue A-L Breguet 2, Neuchatel 2000, Switzerland
[4] Ctr Financial Res, Cologne, Germany
来源：
JOURNAL OF BANKING & FINANCE | 2020年 / 115卷
关键词：
Asset pricing; Crash aversion; Downside risk; Liquidity risk; Tail risk; STOCK RETURNS; MARKET VALUE; TAIL RISK; DEPENDENCE; ILLIQUIDITY; EQUILIBRIUM; COMMONALITY; ANOMALIES; PRICES; MODELS;
D O I：
10.1016/j.jbankfin.2020.105809
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is lowest when market liquidity is lowest. (C) 2020 Elsevier B.V. All rights reserved.
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页数：31
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