Customer concentration risk and the cost of equity capital
This study investigates the relation between customer concentration and a supplier׳ s cost of
equity capital. We hypothesize that a more concentrated customer base increases a …
equity capital. We hypothesize that a more concentrated customer base increases a …
Maxing out: Stocks as lotteries and the cross-section of expected returns
Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …
payoffs and that many investors are poorly diversified, we investigate the significance of …
Ex ante skewness and expected stock returns
We use option prices to estimate ex ante higher moments of the underlying individual
securities' risk‐neutral returns distribution. We find that individual securities' risk‐neutral …
securities' risk‐neutral returns distribution. We find that individual securities' risk‐neutral …
High idiosyncratic volatility and low returns: International and further US evidence
Stocks with recent past high idiosyncratic volatility have low future average returns around
the world. Across 23 developed markets, the difference in average returns between the …
the world. Across 23 developed markets, the difference in average returns between the …
Idiosyncratic risk and the cross-section of expected stock returns
F Fu - Journal of financial Economics, 2009 - Elsevier
Theories such as Merton [1987. A simple model of capital market equilibrium with
incomplete information. Journal of Finance 42, 483–510] predict a positive relation between …
incomplete information. Journal of Finance 42, 483–510] predict a positive relation between …
Trading costs and returns for US equities: Estimating effective costs from daily data
J Hasbrouck - The Journal of Finance, 2009 - Wiley Online Library
The effective cost of trading is usually estimated from transaction‐level data. This study
proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the …
proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the …
Stock market liquidity and firm value
This paper investigates the relation between stock liquidity and firm performance. The study
shows that firms with liquid stocks have better performance as measured by the firm market …
shows that firms with liquid stocks have better performance as measured by the firm market …
Liquidity and asset prices
Y Amihud, H Mendelson… - Foundations and Trends …, 2006 - nowpublishers.com
We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …
empirical studies that test these theories. The theory predicts that both the level of liquidity …
Understanding commonality in liquidity around the world
GA Karolyi, KH Lee, MA Van Dijk - Journal of financial economics, 2012 - Elsevier
We examine how commonality in liquidity varies across countries and over time in ways
related to supply determinants (funding liquidity of financial intermediaries) and demand …
related to supply determinants (funding liquidity of financial intermediaries) and demand …
Idiosyncratic volatility and the cross section of expected returns
This paper examines the cross-sectional relation between idiosyncratic volatility and
expected stock returns. The results indicate that i) the data frequency used to estimate …
expected stock returns. The results indicate that i) the data frequency used to estimate …