Access the full text.
Sign up today, get DeepDyve free for 14 days.
Y. Amihud, Sreedhar Bharath (2014)
NBER WORKING PAPER SERIES LIQUIDITY RISK OF CORPORATE BOND RETURNS: A CONDITIONAL APPROACH
M. Brennan, Tarun Chordia, A. Subrahmanyam (1998)
Alternative factor specifications, security characteristics, and the cross-section of expected stock returnsJournal of Financial Economics, 49
Chang‐Jin Kim, C. Nelson, R. Startz (1998)
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomizationJournal of Empirical Finance, 5
Kee Chung, Chairat Chuwonganant (2017)
Market Volatility and Stock Returns: The Role of Liquidity ProvidersFinancial Accounting eJournal
Andrew Ang, R. Hodrick, Yuhang Xing, Xiaoyan Zhang (2006)
The Cross-Section of Volatility and Expected ReturnsCapital Markets: Asset Pricing & Valuation eJournal
Monica Billio, L. Pelizzon (2000)
Value-at-Risk: a multivariate switching regime approachJournal of Empirical Finance, 7
M. Perlin (2015)
MS_Regress - The MATLAB Package for Markov Regime Switching ModelsERN: Econometric Modeling in Financial Economics (Topic)
Dimitri Vayanos (2004)
Flight to Quality, Flight to Liquidity, and the Pricing of RiskCapital Markets: Asset Pricing & Valuation eJournal
M. Saqib (2014)
Quality Minus JunkCfa Digest, 44
V. Acharya, L. Pedersen (2003)
Asset Pricing with Liquidity RiskERN: Pricing (Topic)
Chang‐Jin Kim (1994)
Dynamic linear models with Markov-switchingJournal of Econometrics, 60
Massimo Guidolin, A. Timmermann (2006)
Asset Allocation Under Multivariate Regime SwitchingMonetary Economics eJournal
Daniel Jubinski, Amy Lipton (2012)
Equity volatility, bond yields, and yield spreadsJournal of Futures Markets, 32
Weimin Liu (2006)
A liquidity-augmented capital asset pricing modelJournal of Financial Economics, 82
Robert Korajczyk, Ronnie Sadka (2007)
Pricing the Commonality Across Alternative Measures of LiquidityCapital Markets: Asset Pricing & Valuation
Robert Novy-Marx (2013)
The other side of value: The gross profitability premium.Journal of Financial Economics, 108
Monica Billio, Mila Getmansky, L. Pelizzon (2012)
Dynamic risk exposures in hedge fundsComput. Stat. Data Anal., 56
James Hamilton (1989)
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business CycleEconometrica, 57
Gabriel Pérez-Quirós, A. Timmermann (2000)
Firm Size and Cyclical Variations in Stock ReturnsJournal of Finance, 55
L. Pedersen, Markus Brunnermeier (2005)
Market Liquidity and Funding LiquidityEconometrics: Applied Econometrics & Modeling eJournal
G. Bekaert, Guojun Wu (1997)
Asymmetric Volatility and Risk in Equity MarketsCorporate Finance: Valuation
Nicolae Gârleanu, L. Pedersen (2007)
Liquidity and Risk ManagementNBER Working Paper Series
P. Narayan, Xinwei Zheng (2010)
Market liquidity risk factor and financial market anomalies: Evidence from the Chinese stock marketPacific-basin Finance Journal, 18
Y. Amihud (2012)
Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects*
Ruslan Goyenko, C. Holden, Charles Trzcinka (2009)
Do Liquidity Measures Measure LiquidityJournal of Financial Economics, 92
Sait Doğan (1994)
Journal of
Whitney Newey, K. West (1986)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance MatrixEconometrics eJournal
Xiaoxia Lou, Ronnie Sadka (2011)
Liquidity Level or Liquidity Risk? Evidence from the Financial CrisisFinancial Analysts Journal
Journal of Financial Economics, 77
Jeff Fleming, Chris Kirby, Barbara Ostdiek (1998)
Information and volatility linkages in the stock, bond, and money markets 1 1 This paper was previouJournal of Financial Economics
Chang‐Jin Kim, J. Morley, C. Nelson (2004)
Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?Journal of Money, Credit, and Banking, 36
Randi Naes, Johannes Skjeltorp, B. Ødegaard (2010)
Stock Market Liquidity and the Business CycleCapital Markets: Market Microstructure eJournal
T. Rydén, T. Teräsvirta, S. Åsbrink (1998)
Stylized Facts of Daily Return Series and the Hidden Markov ModelJournal of Applied Econometrics, 13
Y. Amihud, H. Mendelson (1986)
Asset pricing and the bid-ask spreadJournal of Financial Economics, 17
Akiko Watanabe, M. Watanabe (2007)
Time-Varying Liquidity Risk and the Cross Section of Stock ReturnsUniversity of Alberta School of Business Research Paper Series
Antonio Bernardo, I. Welch (2003)
Liquidity and Financial Market RunsAFA 2003 Washington
Vinay Datar, Narayan Naik, R. Radcliffe (1998)
Liquidity and stock returns: An alternative testJournal of Financial Markets, 1
J. Campbell, Ludger Hentschel (1991)
No News is Good News: An Asymmetric Model of Changing Volatility in Stock ReturnsEconometrics eJournal
Joel Hasbrouck (2009)
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily DataJournal of Finance, 64
James Hamilton (2010)
Regime switching models
Review of Financial Studies, 22
Huseyin Gulen, Yuhang Xing, Lu Zhang (2008)
Value Versus Growth: Time-Varying Expected Stock ReturnsRoss: Finance (Topic)
Robert Connolly, Chris Stivers, Licheng Sun (2005)
Stock Market Uncertainty and the Stock-Bond Return RelationJournal of Financial and Quantitative Analysis, 40
Alessandro Beber, Michael Brandt, Kenneth Kavajecz (2006)
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond MarketCapital Markets: Market Microstructure
(2002)
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
P. Narayan, Xinwei Zheng (2011)
The relationship between liquidity and returns on the Chinese stock marketJournal of Asian Economics, 22
David Lesmond (2005)
Liquidity of emerging marketsJournal of Financial Economics, 77
S. Morris, H. Shin (2003)
Liquidity Black HolesMicroeconomic Theory eJournal
Malcolm Baker, Brendan Bradley, Ryan Taliaferro (2013)
The Low-Risk Anomaly: A Decomposition into Micro and Macro EffectsFinancial Analysts Journal, 70
Richard Sloan (1998)
Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future EarningsThe Accounting Review, 71
AbstractThis paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity stocks experience relatively higher losses than predicted in normal times, while high quality and high liquidity stocks experience rather relatively lower losses. These findings lend strong support to the presence of cross-market and within-market flight-to-quality and to-liquidity episodes during crisis periods. During low volatility periods, however, low quality and low liquidity stocks earn relatively larger returns, while high quality and high liquidity stocks yield lower returns; suggesting that low volatility conditions benefit junk and illiquid stocks but not quality and liquid stocks. Finally, our results reveal that liquidity level dominates liquidity beta in explaining stock returns across the different market volatility regimes.
Studies in Nonlinear Dynamics & Econometrics – de Gruyter
Published: Mar 1, 2021
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.