scholarly journals LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS

2016 ◽  
Vol 55 (2) ◽  
pp. 898-919 ◽  
Author(s):  
Kuk Mo Jung
Keyword(s):  
Liquidity Risk ◽  
Time Varying

The Time-Varying Liquidity Risk of Value and Growth Stocks

2010 ◽  
Author(s):  
Ferhat Akbas ◽  
Ekkehart Boehmer ◽  
Egemen Genc ◽  
Ralitsa Petkova
Keyword(s):  
Liquidity Risk ◽  
Time Varying ◽  
Growth Stocks

scholarly journals Exchange Rates and Liquidity Risk

2020 ◽  
Vol 11 (2) ◽  
pp. 159
Author(s):  
Martin D.D. EVANS
Keyword(s):  
Risk Factors ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Exchange Risk

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.

Time-Varying Liquidity Risk and the Cross Section of Stock Returns

2007 ◽  
Vol 21 (6) ◽  
pp. 2449-2486 ◽  
Author(s):  
Akiko Watanabe ◽  
Masahiro Watanabe
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Liquidity Risk ◽  
Time Varying ◽  
The Cross

Time-Varying Liquidity and Momentum Profits

2016 ◽  
Vol 51 (6) ◽  
pp. 1897-1923 ◽  
Author(s):  
Doron Avramov ◽  
Si Cheng ◽  
Allaudeen Hameed
Keyword(s):  
Investor Sentiment ◽  
Liquidity Risk ◽  
Predictive Performance ◽  
The United States ◽  
Market Volatility ◽  
Time Varying ◽  
Momentum Strategies ◽  
Cross Sectional ◽  
Momentum Profits ◽  
Basic Intuition

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceeds that of market return and market volatility states. While momentum strategies have been unconditionally unprofitable in the United States, in Japan, and in the Eurozone countries in the last decade, they are substantial following liquid market states.

scholarly journals A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt

2019 ◽  
Vol 101 (5) ◽  
pp. 933-949 ◽  
Author(s):  
Jens H. E. Christensen ◽  
Glenn D. Rudebusch
Keyword(s):  
Lower Bound ◽  
Interest Rates ◽  
Term Structure ◽  
Structural Breaks ◽  
Liquidity Risk ◽  
Time Varying ◽  
Real Rate ◽  
Risk Premiums ◽  
The Past ◽  
Percentage Points

The downtrend in U.S. interest rates over the past two decades may partly reflect a decline in the longer-run equilibrium real rate of interest. We examine this issue using dynamic term structure models that account for time-varying term and liquidity risk premiums and are estimated directly from prices of individual inflation-indexed bonds. Our finance-based approach avoids two potential pitfalls of previous macroeconomic analyses: structural breaks at the zero lower bound and misspecification of output and inflation dynamics. We estimate that the longer-run equilibrium real rate has fallen about 2 percentage points and appears unlikely to rise quickly.

Pricing of time-varying liquidity risk in Finnish stock market: new evidence

2019 ◽  
Vol 25 (13) ◽  
pp. 1147-1165
Author(s):  
Sheraz Ahmed ◽  
Jani Hirvonen ◽  
Syed Mujahid Hussain
Keyword(s):  
Stock Market ◽  
Liquidity Risk ◽  
Time Varying ◽  
New Evidence
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