Results 1 to 10 of about 8,018 (261)
Stock liquidity and default risk [PDF]
Journal of Financial Economics, 2017 Abstract This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the highest default risk experience the largest improvements.
Jonathan Brogaard, Ying Xia
exaly +4 more sources
Determinants of liquidity risk: Empirical evidence from Indian commercial banks [PDF]
Banks and Bank Systems, 2023 Liquidity risk is a significant financial threat that must be handled carefully. Underestimation or mismanagement of liquidity risk may lead to severe financial losses or even bank failures.
Tisa Maria Antony
doaj +1 more source
Liquidity Risk and Asset Pricing in Pakistan Stock Exchange
JISR Management and Social Sciences & Economics, 2021 This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors’ attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by
Abdul Rashid, Asma Aib
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Latency and Liquidity Risk [PDF]
SSRN Electronic Journal, 2019 Latency (i.e. time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity, takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB) might undergo updates, so there is no guarantee that MLOs are filled.
Cartea, A +2 more
openaire +3 more sources
Liquidity Risk and Contagion [PDF]
Journal of the European Economic Association, 2005 This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to
Rodrigo Cifuentes +2 more
openaire +2 more sources
Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk
Complexity, 2022 This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market.
Zijian Wu, Baochen Yang, Yunpeng Su
doaj +1 more source
Pervasive Liquidity Risk [PDF]
SSRN Electronic Journal, 2002 While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of hedging strategies requiring frequent portfolio rebalancing.
Eckbo, B. Espen, Norli, Øyvind
openaire +2 more sources
DeFi Lending Platform Liquidity Risk: The Example of Folks Finance
The Journal of The British Blockchain Association, 2023 Decentralised finance (DeFi) lending platforms may experience liquidity risk, which occurs when users are unable to withdraw their assets. Researchers and practitioners have found that the concentration of deposits among a small group of users is one of ...
Matthias Hafner +7 more
doaj +1 more source
Liquidity risk management [PDF]
Bankarstvo, 2014 Liquidity risk management is a major activity of every bank. To be able to honor its matured liabilities, a bank strives to provide and maintain the required level of liquidity on a daily basis.
Milošević Miloš
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Journal of Mathematics, 2021 This paper adopts the intelligent scheduling method to conduct an in-depth study and analysis on the optimization of financial asset liquidity management model, elaborates and analyzes the liquidity risk management theory of commercial banks, and reviews
Yi Zhou, Weili Xia, Shengping Peng
doaj +1 more source