Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach [PDF]
Financial Innovation, 2022 The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and ...
François-Éric Racicot +1 more
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Impact persistence of stock market risks in commodity markets: Evidence from China. [PDF]
PLoS ONE, 2021 The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets ...
Shusheng Ding +5 more
doaj +3 more sources
The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test. [PDF]
PLoS ONE, 2019 We investigate conditional specifications of the five-factor Fama-French (FF) model, augmented with traditional illiquidity measures. The motivation for this time-varying methodology is that the traditional static approach of the FF model may be ...
François-Éric Racicot +3 more
doaj +2 more sources
WHO BENEFITS FROM FUNDS OF HEDGE FUNDS? A CRITIQUE OF ALTERNATIVE ORGANIZATIONAL STRUCTURES IN THE HEDGE FUND INDUSTRY (I) [PDF]
Business Excellence and Management, 2011 This paper provides a critique of alternative organizational structures in the hedge fund industry. Our critique is facilitated by several stylized models describing alternative industry structures. The models include: (1) An insideonly hedge fund model;
Yang CAO +2 more
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The Impact of Dividend Policy on Liquidity Risk Components Based on Covariance Decomposition [PDF]
تحقیقات مالی, 2023 Objective Corporate financial policies are used as tools to maximize shareholders’ wealth. Liquidity risk is one of the main systematic risks affecting the equity cost of capital.
Hamidreza Moazeni, Saeed Fathi
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Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches [PDF]
North American Journal of Economics and Finance, 2021 Kais Tissaoui, Besma Hkiri
exaly +1 more source
Investigating the Mediating Roles of Information Asymmetry and Illiquidity Related to Cluster Trading in the Relationship between Noise Trading and Market Efficiency in Tehran Stock Exchange (TSE) [PDF]
Journal of Asset Management and Financing, 2021 This study aimed to investigate the effects of information asymmetry and illiquidity related to cluster trading on market efficiency and examine the mediating roles of these two variables in the relationship between noise trading and market efficiency ...
Mahmood Ramshini +3 more
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Change in Illiquidity of Family Firms with Institutional Pressure: Evidence from India
American Business Review, 2021 This paper investigates the impact of the family business on illiquidity in an emerging market and how it evolves with regulatory changes. The study uses panel data multiple regression on a sample of 25,418 observations on 3,606 firms from India within ...
Amit Chakrabarti, Kaveri Krishnan
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Journal of Accounting and Investment, 2023 Research aims: Illiquidity risk is one of the complex issues that institutional investors and market participants continually face over time. It is because the constructs of illiquidity risk are sometimes complicated, robust, and not so evident in ...
Samuel Tabot Enow
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Illiquidity of frontier financial market: Case of Serbia [PDF]
Panoeconomicus, 2010 The paper explores illiquidity of the Serbian financial market for the period of 2005-2009. The financial market in Serbia is, by its type, a frontier market.
Živković Boško, Minović Jelena
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