Downside Risk &; Liquidity-The Example of US Financial Institutions
碩士 === 國立交通大學 === 財務金融研究所 === 102 === Investors care more about downside losses than upside gains. They require additional compensation for holding stocks with high sensitivities to downside market movements. In this paper, we show that the cross section of stock returns reflects a downside risk pre...
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| Format: | Others |
| Language: | en_US |
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2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/2nf9vr |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 102 === Investors care more about downside losses than upside gains. They require additional compensation for holding stocks with high sensitivities to downside market movements. In this paper, we show that the cross section of stock returns reflects a downside risk premium, especially during the financial crisis in 2008. Moreover, we provide evidence that downside risk and upside risk affect stock liquidity in different ways. Stocks with greater downside risk tend to be less liquid. On the other side, stocks with higher upside risk provide more liquidity.
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