This article examines the impact of various sources of systematic liquidity risk and
idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested …

The study investigates the impact of sector and market-wide illiquidity shocks on herding
within US Real Estate Investment Trusts (REITs), on a sub-sector level, including health …

The study investigates the impact of financial distress (credit spread) and liquidity crises
(TED spread) on size, value, profitability, investment and momentum premiums within the …

This paper examines the relationship between the Islamic and conventional equity indices
by employing the newly launched MSCI Global Islamic Indices which began in 2008. We …

Recent evidence has shown that liquidity and idiosyncratic risk may be priced factors in the
cross section of expected stock returns and that market capitalization significantly affects …

This paper derives a liquidity-adjusted conditional two-moment capital asset pricing model
(CAPM) and a liquidity-adjusted conditional three-moment CAPM respectively based on …

Purpose: Analyze if the commonality in liquidity is priced and its relation with the stock return
in the Brazilian stock market. Originality/value: Due to the shortage of papers about the …

This paper investigates whether investors are compensated for taking on commonality risk in
equity portfolios. A large literature documents the existence and the causes of commonality …

Since the beginning of the 21st century, China's new media industry has attracted more and
more investors' attention with its rapid development. However, its stock market has …

Purpose: Analyze if the commonality in liquidity is priced and its relation with the stock return
in the Brazilian stock market. Originality/value: Due to the shortage of papers about the …