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

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorRuenzi, Stefanen_US
dc.contributor.authorUngeheuer, Michaelen_US
dc.contributor.authorWeigert, Florianen_US
dc.contributor.departmentDepartment of Financeen
dc.contributor.organizationUniversity of Mannheimen_US
dc.contributor.organizationUniversity of Neuchâtelen_US
dc.date.accessioned2020-12-31T08:46:32Z
dc.date.available2020-12-31T08:46:32Z
dc.date.embargoinfo:eu-repo/date/embargoEnd/2023-04-20en_US
dc.date.issued2020-06en_US
dc.description.abstractWe 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.en
dc.description.versionPeer revieweden
dc.format.extent1-31
dc.format.mimetypeapplication/pdfen_US
dc.identifier.citationRuenzi, S, Ungeheuer, M & Weigert, F 2020, ' Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications ', JOURNAL OF BANKING AND FINANCE, vol. 115, 105809, pp. 1-31 . https://doi.org/10.1016/j.jbankfin.2020.105809en
dc.identifier.doi10.1016/j.jbankfin.2020.105809en_US
dc.identifier.issn0378-4266
dc.identifier.otherPURE UUID: ac856856-f2ad-40f2-99a2-b7c4568dd4c0en_US
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/ac856856-f2ad-40f2-99a2-b7c4568dd4c0en_US
dc.identifier.otherPURE LINK: http://www.scopus.com/inward/record.url?scp=85083346627&partnerID=8YFLogxKen_US
dc.identifier.otherPURE FILEURL: https://research.aalto.fi/files/54159013/RuenziUngeheuerWeigert_2020_JointExtremeEvents.pdfen_US
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/101589
dc.identifier.urnURN:NBN:fi:aalto-2020123160410
dc.language.isoenen
dc.publisherELSEVIER SCIENCE BV
dc.relation.ispartofseriesJOURNAL OF BANKING AND FINANCEen
dc.relation.ispartofseriesVolume 115en
dc.rightsopenAccessen
dc.subject.keywordAsset pricingen_US
dc.subject.keywordCrash aversionen_US
dc.subject.keywordDownside risken_US
dc.subject.keywordLiquidity risken_US
dc.subject.keywordTail risken_US
dc.titleJoint Extreme events in equity returns and liquidity and their cross-sectional pricing implicationsen
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi
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