Liquidity, Price Behavior, and Market-related Events

Lu, Ran

doi:10.1057/s41302-016-0002-0

Cited by 4 publications

(4 citation statements)

References 44 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It is well documented in the literature that fi rms with smaller market capitalization yield higher returns (Banz, 1981;Beedles et al, 1988;Fama and French, 1992;O'Brien et al, 2012 and references therein) and carry higher idiosyncratic risk (e.g. Ang et al, 2006Ang et al, , 2009Hur, 2010;Jiang et al, 2006;Lu-Andrews and Glascock, 2014). Thus, it follows by the law of association that high idiosyncratic risk may lead to high returns.…”

Section: Table 5 (A) Ordinary Least Squares Estimation Of Long-run Idmentioning

confidence: 98%

Does persistence in idiosyncratic risk proxy return-reversals?

Nath

Sarafidis

2017

JBFE

View full text Add to dashboard Cite

Understanding the return-reversal phenomenon observed to generate large abnormal profits under some stock market trading strategies is of considerable interest in finance. There is also much debate over the use of idiosyncratic risk as a predictor in asset pricing models when it is persistent. This paper, using the Australian data, presents new empirical evidence of return-reversals at the firm level and the existence of an equilibrium state based on robust econometric methodology of panel error-correction model. The method exploits the persistence in idiosyncratic risk and builds on its cointegration with the returns series. Our results reveal the tendency of long-run returns to restore equilibrium, reversals in short-run returns, a slower recovery to equilibrium by small stocks, and while the short-run responses of returns to changes in log book-to-market ratios are positive, their reaction to persistence in idiosyncratic volatility causes the reversal process. The pattern in quantile dependent coefficients of short-run idiosyncratic risk-return relationship suggests that (i) the changes in idiosyncratic volatility risk adversely affects the short-run returns of low performing stocks but investments in high performing stocks benefit from such changes; (ii) the increasing trend in the coefficients implies a quadratic relationship in the levels of the two series. The significant marginal effects of changes in idiosyncratic volatility and its one period lagged values on changes in returns at many quantiles support the impact being due to persistence in idiosyncratic risk, and their reversing signs provide an evidence of reversion in short-run returns.

show abstract

Section: Table 5 (A) Ordinary Least Squares Estimation Of Long-run Idmentioning

confidence: 98%

Does persistence in idiosyncratic risk proxy return-reversals?

Nath

Sarafidis

2017

JBFE

View full text Add to dashboard Cite

show abstract

“…Hence, the total turnover result gives an appropriate Consistency Index (C) period. The Total Turnover (TT) should be calculated per equation (4).…”

Section: Proposed Liquidity Crisis System Modelmentioning

confidence: 99%

“…It is important to note that the Liquidity Index serves the same function as the Consistency Index. As the total of the consistency index and liquidity indexes will always equal one, they are connected to one another [10].…”

Section: 1consistency Index Comparisonmentioning

confidence: 99%

“…Lu-Andrews et al (2017) investigation of the secondary Liquidity market has been proposed in this manuscript [4]. In addition, the long gestation of the investigations and the Liquidity of the system, which transmits the data for the absolute return and the equilibrium for the Liquidity in the market, has been proposed based on the improvements of the financial liquidity markets.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Making Impact on Common Financial Factors Affecting Liquidity Ratio Based on Greedy Approach Through Price Movement in Stock Market

Prakash

Krishnaprabha²,

Sundararajan

2023

Preprint

View full text Add to dashboard Cite

This research article focused on discovering appropriate liquidity risk concerns in the financial Sector. Primarily, it deals with the appropriate liquidity factors that affect financial performance services pertained to several liquidity crises and the respective liquidity measures. Liquidity is considered the primary constraint. The Liquidity Ratios are the defective condition of calculating the financial performance services and their respective status. For fulfilling this performance service status prediction, this research use calculation for consistency index procedure. Liquidity index-based predictions have collaborated concerning the price movement in the stock market. The Liquidity will affect the trading and market transparency whenever the price moment varies. To control this trading and not market transparency of liquidity index be employed the greedy approach for estimating the most factor affected by the liquid index. Hence, this research elaborates on the greedy approach today with 25 essential financial factors. Each Panther will have combined with the tractor-confirmed liquidity crisis whenever the factors of liquidity crisis are combined with the actual financial factor, the minimum and maximum Degree of matching are calculated. This calculation determines the factors that affected the Liquidity concerning their exact, Plugin, subsume, and fail condition. Eventually, the search concludes the determination of factors affecting Liquidity concerning the actual finance factor and liquidity crisis. Finally, the result was concluded with the Degree of matching and their efficiency of finding liquidity factors with a successful reasonable result. Based on the Degree of matching result, this research found the actual reason for Liquidity with the help of various financial factors.

show abstract