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DOI:10.2139/ssrn.2850278 - Corpus ID: 204402925
@article{Wu2017AssetPW, title={Asset Pricing with Extreme Liquidity Risk}, author={Ying Wu}, journal={ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)}, year={2017}, url={https://api.semanticscholar.org/CorpusID:204402925}}- Ying Wu
- Published in Journal of Empirical Finance 21 June 2017
- Economics
Defining extreme liquidity as the tail of the illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that it is priced cross-sectionally in the U.S. Between 1973 and 2014, the stocks in the highest quintile of extreme liquidity risk loadings earned value-weighted average returns 5.6% per year higher than the stocks in the lowest quintile. The extreme liquidity risk premium is robust to common risk factors related to size, value, and momentum, and…
18 Citations
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18 Citations
- H. RamosM. Righi
- 2020
Economics
- 18
- Sean A. AnthoniszTālis J. Putniņš
- 2017
Economics
Manag. Sci.
It is suggested that mitigation of downside liquidity risk can lower firms’ cost of capital and is consistent with investors requiring compensation for holding assets susceptible to adverse liquidity phenomena.
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- S. RuenziMichael UngeheuerF. Weigert
- 2020
Economics
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…
- 6
- Highly Influenced
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- Giho JeongJangkoo KangK. Kwon
- 2018
Economics, Business
The North American Journal of Economics and…
- 4
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- S. RuenziMichael UngeheuerF. Weigert
- 2020
Economics, Business
We merge the literature on downside return risk with that on systematic liquidity risk and introduce the concept of extreme downside liquidity (EDL) risk. We show that the cross-section of expected…
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- PDF
- M. BelkhirMohsen SaadAnis Samet
- 2017
Economics, Business
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- Highly Influenced
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Economics
This study examined the impact of liquidity synchronization on stock valuation in selected emerging economies in Asia. Empirical testing was motivated by the relevance of liquidity synchronization in…
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- Ji-Yeong ChungD. AhnI. BaekK. Kang
- 2018
Economics
In empirically exploring the link between funding liquidity and market liquidity, the greatest challenge is to designate a suitable market that shows such linkages. In this respect, the 15-year…
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- Asheesh PandeyAnand MittalA. Mittal
- 2021
Economics
Abstract In this paper, we examine whether the size effect is present in four European markets viz. France, Germany, Spain and Italy. We also investigate whether the size effect can be explained…
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- Xiaoxia LouTao Shu
- 2017
Economics
The return premium associated with the Amihud (2002) measure is generally considered a liquidity premium that compensates for price impact. We find that the pricing of the Amihud measure is not…
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