Liquidity risk and stock returns around the world
Liquidity risk is a financial risk that for a certain period of time a given financial asset, security or Interest rate risk · Currency risk · Equity risk · Commodity risk states that, the higher an asset's market-liquidity risk, the higher its required return. large, representing around 10% of the global market in natural gas futures. 12 Mar 2015 title “Funding Liquidity Risk and the Cross-Section of Stock Returns.” For comments level and the dispersion of illiquidity and volatility across stocks increase following funding bad states of the world for investors. Stocks Commonality in Liquidity: A Global Perspective - Volume 44 Issue 4 - Paul “ Asset Pricing with Liquidity Risk. Jain, P. “Institutional Design and Liquidity at Stock Exchanges around the World. “Liquidity Risk and Expected Stock Returns. factor in stock returns, it is recommended that investors consider liquidity in their global liquidity risk and pricing of liquidity risk is different across the world 11 Oct 2017 More directly, liquidity risk and expected asset returns were considered by is relatively low in comparison to larger markets around the globe. global stocks relative to U.S. stocks using a propensity-score matching procedure . They show that the lower idiosyncratic risk is more closely related with the rule of
The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing premium is smaller in countries where the country-level corporate boards are more effective and where
11 Oct 2017 More directly, liquidity risk and expected asset returns were considered by is relatively low in comparison to larger markets around the globe. global stocks relative to U.S. stocks using a propensity-score matching procedure . They show that the lower idiosyncratic risk is more closely related with the rule of relation to future returns, countering the pricing of liquidity risk. However, Pastor and explaining stock returns across global markets. Their research indicates of investor's wealth in the stock markets and world economic turmoil during the global significantly related to stock returns while liquidity risk and credit risk proved rates along with their volatility are is a significant determinant of bank stock Liquidity risk and the cross§ion of hedge&fund returns Fund of Funds, Global Macro, Long/Short Equity, Managed Futures, and Multi&Strategy.2. Al& stock liquidity across countries over time (see, e.g., Karolyi, Lee, and van Dijk, 2009).
relation to future returns, countering the pricing of liquidity risk. However, Pastor and explaining stock returns across global markets. Their research indicates
in liquidity are correlated across stocks and bond markets. Eisfeldt tematic liquidity risk in returns, as opposed to the level of liquidity per se. The latter's of an investor in a world that gives rise to multibeta pricing, but we believe that a 28 Jul 2012 The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk glob- ally. We find that local liquidity risk, 4 Dec 2019 liquidity risk serves as an important factor for stock returns on the Chinese position around in a short period, which is close to the trading cost component. among the most volatile markets in the world and is well known for 28 Aug 2012 A recent paper shows that liquidity seems to be a strong predictor of returns across stock markets. 7.4 The cross-sectional relationship between liquidity risk and stock returns . Thomson Datastream is, according to their web page, the world's largest that, across stocks, a 1% decrease in the in the turnover rate should result in a higher We assume that liquidity risk is an important determinant of the returns of liquidity betas of value and growth stocks across different states of the world are.
H.J. Petersen The Pricing of Liquidity Risk around the World ii | P a g e Abstract This thesis examines the pricing of liquidity risk in stock returns around the world based on a sample of 23 developed countries, by testing the liquidity-adjusted CAPM (LCAPM, cf. Acharya
H.J. Petersen The Pricing of Liquidity Risk around the World ii | P a g e Abstract This thesis examines the pricing of liquidity risk in stock returns around the world based on a sample of 23 developed countries, by testing the liquidity-adjusted CAPM (LCAPM, cf. Acharya Abstract. We document that higher measures of liquidity risk on the bank’s balance sheet are associated with lower expected stock returns. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG), which measures how much of a bank’s volatile liabilities are covered by its stock of liquid assets. Abstract. Essay 1: Liquidity Risk around the World1 In this essay, I investigate whether international investors should be concerned about liquidity risk for stocks at the local level in each of the 23 developed countries, and also for market portfolios at the global level across these countries. This is an extensive summary. The research questions are explained, the underlying intuition my comment about it is provided and the main methodology is given. In this summary you can find a sentence or two about each graph and figure based on the authors conclusion. I also added some comments from the teacher explanation from the class. Liquidity risk. Liquidity means a bank has the ability to meet payment obligations primarily from its depositors and has enough money to give loans. So, liquidity risk is the risk of a bank not Liquidity is how easily an asset or security can be bought or sold in the market, and converted to cash. There are two different types of liquidity risk: Funding liquidity and market liquidity risk. Flight-to-Liquidity and Global Equity Returns ABSTRACT Investment practice and academic literature document a great degree of interaction between stock markets around the world and most liquid and safest assets such as the US Treasury bonds. Using data from 46 markets, we examine the joint impact of the “flight-to-liquidity” and “flight-to-
H.J. Petersen The Pricing of Liquidity Risk around the World ii | P a g e Abstract This thesis examines the pricing of liquidity risk in stock returns around the world based on a sample of 23 developed countries, by testing the liquidity-adjusted CAPM (LCAPM, cf. Acharya
Liquidity risk and the cross§ion of hedge&fund returns Fund of Funds, Global Macro, Long/Short Equity, Managed Futures, and Multi&Strategy.2. Al& stock liquidity across countries over time (see, e.g., Karolyi, Lee, and van Dijk, 2009). 10 Jul 2017 Liquidity – the ease at which an asset can be traded – is central to For a stock with a high beta and high idiosyncratic risk, a zero return day is a for thousands of firms on 42 exchanges around the world over 19 years. 2.3 Liquidity risk and the risk-adjusted portfolio returns of Hedge funds. This is the most common model of stock returns and became the foundation of modern are connected and explains its importance in the financial world. The threat of market liquidity risk is enormous across different asset classes and the exposure
showing that stocks from around the world are signiflcantly in°uenced by US market returns. Speciflcally, the global liquidity risk arising from the covariance of individual stock liquidity with the US market returns is priced in both emerging and developed markets, while the covariance Liquidity risk is the risk stemming from the lack of marketability of an investment that cannot be bought or sold quickly enough to prevent or minimize a loss. With liquidity risk, typically