Results 31 to 40 of about 24,822 (265)
A new method for estimating liquidity and stock returns in Indian stock market
China Accounting and Finance ReviewThis study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the ...
Tapas Kumar Sethy, Naliniprava Tripathy
doaj +1 more source
Quality of financial information and liquidity [PDF]
Management Science Letters, 2014 This paper examines the relationship between liquidity and quality of financial information by analyzing long-term trends in illiquidity measure for firms that restate their financial statements. The study uses a method developed by Amihud (2002) [Amihud,
Keyhan Maham, Fahime Safikhani
doaj +1 more source
Funding Illiquidity Implied by S&P 500 Derivatives
RisksBased on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative ...
Benjamin Golez +2 more
doaj +1 more source
INVESTING WITH LIQUID AND ILLIQUID ASSETS
Mathematical Finance, 2014 AbstractWe find optimal trading policies for long‐term investors with constant relative risk aversion and constant investment opportunities, which include one safe asset, liquid risky assets, and an illiquid risky asset trading with proportional costs.
Bichuch M, Guasoni P
openaire +5 more sources
Complexity, 2022 In this paper, wavelet coherences and quantile autoregressive distributed lag (QARDL) approaches are used to study the effect of economic policy uncertainty (EPU), infectious disease EMV tracker (IDEMV), and implied volatility (VIX) on illiquidity during
Kais Tissaoui +3 more
doaj +1 more source
Liquidity, corporate governance and firm performance: A meta-analysis
Cogent Business & Management, 2022 Our study investigates the interlink between liquidity, corporate governance and firm value with the adoption of meta-analysis. The final sample consists of 428 studies extracted from 55 papers, covering 632,196 firm-year observations in a worldwide ...
Ngoc Phuong Anh Nguyen +1 more
doaj +1 more source
Size and liquidity effects in Nigeria: an industrial sector study [PDF]
, 2013 This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria ...
Hearn, Bruce
core +1 more source
Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk [PDF]
, 2016 We develop a dynamic valuation model of the hedge fund seeding business by solving the consumption and portfolio-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e.
Ewald, Christian, Zhang, Hai
core +2 more sources
Modelling the liquidity premium on corporate bonds [PDF]
, 2015 The liquidity premium on corporate bonds has been high on the agenda of Solvency regulators owing to its potential relationship to an additional discount factor on long-dated insurance liabilities. We analyse components of the credit spread as a function
Cairns, Andrew +3 more
core +1 more source
Climate Change Risks and Customer Concentration: Evidence From US‐Listed Firms
Business Strategy and the Environment, EarlyView.ABSTRACT While prior studies have investigated climate risks in supply chains, customer ESG pressures, and shared climate exposure, this paper is, to the best of our knowledge, the first to provide direct empirical evidence on the relationship between climate change risks and firms' customer concentration.
Thi Thuy Trang Nguyen +2 more
wiley +1 more source