منابع مشابه
Essays on Stock Market Liquidity and Liquidity Risk Premium
..............................................................................................................................v Chapter One: Introduction ...................................................................................................1 Chapter Two: Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets 3
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We study the relation between the liquidity of the firm’s assets and the liquidity of financial claims on the assets, thereby linking corporate finance decisions to stock liquidity. Our model highlights an ambiguous relationship. While greater asset liquidity reduces uncertainty regarding valuation of assets-in-place, it increases future investments and the associated uncertainty. The model sho...
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In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency (EDF) constructed by Moody’s KMV, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock returns, a finding that complements the existing empirical evidence. We then show that the puzzling...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2017
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2017.03.003