Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/214887
Authors: 
Ruenzi, Stefan
Ungeheuer, Michael
Weigert, Florian
Year of Publication: 
2020
Series/Report no.: 
CFR Working Paper 20-01
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.
Subjects: 
Asset Pricing
Crash Aversion
Downside Risk
Liquidity Risk
Tail Risk
JEL: 
C12
C13
G01
G11
G12
G17
Document Type: 
Working Paper

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