Universität zu Köln

Ruenzi, Stefan, Ungeheuer, Michael ORCID: 0000-0002-8921-6507 and Weigert, Florian (2020). Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications. J. Bank Financ., 115. AMSTERDAM: ELSEVIER. ISSN 1872-6372

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Abstract

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 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. (C) 2020 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Ruenzi, Stefan UNSPECIFIED UNSPECIFIED UNSPECIFIED Ungeheuer, Michael UNSPECIFIED orcid.org/0000-0002-8921-6507 UNSPECIFIED Weigert, Florian UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-332473
DOI:	10.1016/j.jbankfin.2020.105809
Journal or Publication Title:	J. Bank Financ.
Volume:	115
Date:	2020
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1872-6372
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language STOCK RETURNS; MARKET VALUE; TAIL RISK; DEPENDENCE; ILLIQUIDITY; EQUILIBRIUM; COMMONALITY; ANOMALIES; PRICES; MODELS Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/33247