Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
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- Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.
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Cited by:
- Godfrey Marozva & Margaret Rutendo Magwedere, 2021. "Nexus Between Stock Returns, Funding Liquidity and COVID-19," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 71(3-4), pages 86-100, July-Dece.
- Victoria Dobrynskaya, 2015. "Upside and Downside Risks in Momentum Returns," HSE Working papers WP BRP 50/FE/2015, National Research University Higher School of Economics.
- Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017.
"Funding Constraints and Market Illiquidity in the European Treasury Bond Market,"
TSE Working Papers
17-814, Toulouse School of Economics (TSE).
- Sophie Moinas & Minh Nguyen & Giorgio Valente, 2018. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," EconPol Working Paper 13, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
- Ajay Kumar Mishra & Bhavik Parikh & Ronald W. Spahr, 2021. "Contemporaneous linkages: Funding liquidity and stock market spirals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5912-5929, October.
- Frömmel, Michael & Han, Xing & Li, Youwei & Vigne, Samuel A., 2022. "Low liquidity beta anomaly in China," Emerging Markets Review, Elsevier, vol. 50(C).
- Bank for International Settlements, 2016. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 55, december.
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More about this item
Keywords
Funding risk; Stock returns; Limits to arbitrage; Market liquidity; Volatility;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2016-04-30 (Macroeconomics)
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