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http://hdl.handle.net/2445/182110
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DC Field | Value | Language |
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dc.contributor.author | Chuliá Soler, Helena | - |
dc.contributor.author | Koser, Christoph | - |
dc.contributor.author | Uribe Gil, Jorge Mario | - |
dc.date.accessioned | 2022-01-05T04:46:37Z | - |
dc.date.available | 2022-01-05T04:46:37Z | - |
dc.date.issued | 2021-01 | - |
dc.identifier.issn | 1544-6131 | - |
dc.identifier.uri | http://hdl.handle.net/2445/182110 | - |
dc.description.abstract | This study examines the asymmetric impact of systemic liquidity on asset prices across market states. We use time-series conditional quantile regressions to estimate an otherwise traditional liquidity-augmented three-factor model for asset prices. We find the exposure of equity returns to systemic liquidity risk to be dependent on the market state. Contrary to general assumptions, our results show that liquidity is not always a relevant factor for explaining stock market returns and that it only becomes relevant when the market state is particularly good or particularly bad. Search-for-yield and flight-to-liquidity considerations help to explain our findings. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.frl.2020.101515 | - |
dc.relation.ispartof | Finance Research Letters, 2021, vol. 38, num. 101515 | - |
dc.relation.uri | https://doi.org/10.1016/j.frl.2020.101515 | - |
dc.rights | (c) Elsevier, 2021 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Liquiditat (Economia) | - |
dc.subject.classification | Programació no lineal | - |
dc.subject.classification | Gestió d'actius i passius | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Economia de mercat | - |
dc.subject.other | Liquidity (Economics) | - |
dc.subject.other | Nonlinear programming | - |
dc.subject.other | Asset-liability management | - |
dc.subject.other | Risk | - |
dc.subject.other | Market economy | - |
dc.title | Analyzing the Nonlinear Pricing of Liquidity Risk according to the Market State | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 716676 | - |
dc.date.updated | 2022-01-05T04:46:37Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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716676.pdf | 607.87 kB | Adobe PDF | View/Open |
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