This paper argues that a risk averse of workers after-tax reservation wage the difference between her reservation wage and the tax needed to fund the unemployment insurance system when liquidity constraint binds exists and it is unique. The optimality of unemployment insurance based on the responsiveness of reservation wage to unemployment benefit shows the disincentive effect, i.e. higher unem...

 Governments attempt to achieve the goals of low inflation rate and sustainable economic growth rate. The objective of this study is to analyze the roles of determinants such as the liquidity of money, weighted average of interest (profit) rate on banking deposits, exchange rate and the public debt on inflation and economic growth in Iran, using the quarterly data during the period of 1989-2008...

The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low stocks outperform high on a risk-adjusted basis. This striking pattern is robust to different weighting schemes, competing factor models, and other well-known return determinants cross section. We propose behavioral-based explanation low liquidity beta China. Consistent our new perspective, negat...

Article history: Received 19 July 2012 Received in revised form 21 November 2013 Accepted 28 November 2013 Available online 7 December 2013 We investigate the pricing implication of liquidity risks in the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005), using multiple liquidity measures and their principal component. While we find that the empirical results are sen...

We show that idiosyncratic liquidity risk is positively priced in the cross-section of stock returns. Our measure of idiosyncratic liquidity volatility is based on a ”market” model for stock liquidity. Idiosyncratic volatility of liquidity is priced in the presence of systematic liquidity risk: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggr...

We document a positive relation between the volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. We show that the volatility of liquidity effect is different from previously documented liquidity risks: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggre...

The main objective was to analyze the influence of foreign investment risk on financial performance pension fund firms in Kenya. study guided by shiftability theory liquidity, efficient market hypothesis theory, portfolio balance and enterprise management theory. These theories explained effect (liquidity risk, exchange operational risk) This comprised 29 registered administrators, 24 managers ...

This study aims to empirically examine the effect of Leverage, Profitability, and Liquidity on Earning Response Coefficient (ERC) in Islamic banking companies. Data collection techniques using documentation data analysis purposive sampling. is a type dependent variable that can be useful research. However, variables are independent this research Liquidity. The method used multiple linear regres...

We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios'market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be attributed to pure luck. In out-of-sa...