Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/214887 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CFR Working Paper No. 20-01
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
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.
Schlagwörter: 
Asset Pricing
Crash Aversion
Downside Risk
Liquidity Risk
Tail Risk
JEL: 
C12
C13
G01
G11
G12
G17
Dokumentart: 
Working Paper

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