Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Wenjin Kang"'
We find that liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. This puzzle can be explained by the asymme
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d00fea55775a69aed4f9be59061ae0c4
https://doi.org/10.2139/ssrn.4400872
https://doi.org/10.2139/ssrn.4400872
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::081f317be3262ef0121cb6bef49e227c
https://doi.org/10.2139/ssrn.4080137
https://doi.org/10.2139/ssrn.4080137
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::847cc46a213dc064abab1eed74fc4e84
https://doi.org/10.2139/ssrn.4029336
https://doi.org/10.2139/ssrn.4029336
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c3574bfd555b481c9a3aaa6d9ae1bd0
https://doi.org/10.2139/ssrn.4313728
https://doi.org/10.2139/ssrn.4313728
Publikováno v:
Journal of Empirical Finance. 54:77-96
This study shows that, to obtain a precise measure of the liquidity premium in the stock market, it is important to recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively correlate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::541e40646d8cd31a999067bc5ca75503
https://doi.org/10.1016/j.jempfin.2019.08.005
https://doi.org/10.1016/j.jempfin.2019.08.005
Publikováno v:
The Journal of Finance. 75:377-417
This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short‐term position changes are driven mainly by the liquidity demands of noncommercial traders, while long‐term varia
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ca9fe408046eab018f5cc7c853512e0
https://doi.org/10.1111/jofi.12845
https://doi.org/10.1111/jofi.12845
Publikováno v:
SSRN Electronic Journal.
This paper documents that crowding by market participants affects the expected return to popular factor strategies such as value, momentum, and carry. Using data published by the CFTC for commodity futures markets, we construct a direct measure of fa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf68ec27eb40ea026f51d7bbd795c864
https://doi.org/10.2139/ssrn.3803954
https://doi.org/10.2139/ssrn.3803954
Publikováno v:
Journal of Banking & Finance. 86:240-258
This study examines how limits of arbitrage can affect the pricing of idiosyncratic volatility. Using both unique trading constraints in the Chinese stock market and other commonly-used limits-of-arbitrage measures, we construct a comprehensive limit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77130ec2637350cdcfcf99b2f6296c4b
https://doi.org/10.1016/j.jbankfin.2015.08.016
https://doi.org/10.1016/j.jbankfin.2015.08.016
Publikováno v:
SSRN Electronic Journal.
We propose a novel measure, namely relative basis, as a more precise proxy for the convenience yield implied by the Theory of Storage. The relative basis, defined as the difference between the traditional near-term basis and a similarly defined longe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c53567f224542744c23ee61404c16423
https://doi.org/10.2139/ssrn.3404561
https://doi.org/10.2139/ssrn.3404561
Publikováno v:
Journal of Applied Corporate Finance. 27:68-74
[Extract] Conventional finance theory proposes that the cost of equity capital is determined primarily by risk. The greater the risk (holding all else constant), the higher the expected return demanded by risk-averse investors as compensation. The cl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ca81d30606ff2b4bc930cec515ba127
https://doi.org/10.1111/jacf.12147
https://doi.org/10.1111/jacf.12147