Liquidity, Governance and Adverse Selection in Asset Pricing

@inproceedings{Strobl2013LiquidityGA,
  title={Liquidity, Governance and Adverse Selection in Asset Pricing},
  author={Sascha Strobl},
  year={2013}
}

References

SHOWING 1-10 OF 57 REFERENCES
A Reexamination of Corporate Governance and Equity Prices with Updated and Supplemental Results
We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population ofExpand
Governance Mechanisms and Equity Prices
We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. A portfolio that buys firms with the highest level of takeoverExpand
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium.Expand
Asset Pricing with Liquidity Risk
This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in liquidity over time). It is shown that the required return on a security depends onExpand
Industry Concentration and Average Stock Returns
Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error,Expand
Information Asymmetry, Corporate Disclosure and the Capital Markets: A Review of the Empirical Disclosure Literature
Corporate disclosure is critical for the functioning of an efficient capital market. Firms provide disclosure through regulated financial reports, including the financial statements, footnotes,Expand
Is Information Risk a Determinant of Asset Returns
TLDR
The main result is that information does affect asset prices, and a difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year. Expand
Industry costs of equity
Abstract Estimates of the cost of equity for industries are imprecise. Standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993).Expand
On Persistence in Mutual Fund Performance
Using a sample free of survivor bias, the author demonstrates that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean andExpand
The Components of the Bid-Ask Spread: A General Approach, Reviews of Financial Studies
A simple time-series market microstructure model is constructed within which existing models of spread components are reconciled. We show that existing models fail to decompose the spread into allExpand
...
1
2
3
4
5
...