Aggregate Liquidity Premium and Cross-Sectional Returns: Evidence from China

2021 ◽  
pp. 105645
Author(s):  
Cunfei Liao ◽  
Qianlin Luo ◽  
Guohao Tang
Keyword(s):  
Liquidity Premium ◽  
Cross Sectional

scholarly journals QUALITY INVESTING IN CEE EMERGING MARKETS

2014 ◽  
Vol 12 (2) ◽  
pp. 159-180 ◽  
Author(s):  
Adam Zaremba
Keyword(s):  
Balance Sheet ◽  
Quality Characteristics ◽  
Eastern European ◽  
Liquidity Premium ◽  
Cross Sectional ◽  
Bid Ask Spread ◽  
Balance Sheet Liquidity ◽  
Eastern European Countries ◽  
Profitability Premium ◽  
Monotonic Relation

Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of more than 1.300 stocks from 11 Central and Eastern European countries for the period 2002–2014 documents a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Finally, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread.

Liquidity premium and the Corwin-Schultz bid-ask spread estimate

2014 ◽  
Vol 4 (2) ◽  
pp. 168-186 ◽  
Author(s):  
Xindong Zhang ◽  
Junxian Yang ◽  
Huimin Su ◽  
Shun Zhang
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Price Impact ◽  
Current Debate ◽  
Liquidity Premium ◽  
Cross Sectional ◽  
Content Type ◽  
Bid Ask Spread ◽  
Academic Researchers ◽  
Liquidity Measures

Purpose – The purpose of this paper is to explore the price implication of a newly developed estimator of the bid-ask spread by Corwin and Schultz (2012). The paper focusses on whether the new measure as a liquidity proxy commands a significant premium. The research helps the understanding on the validity of the Corwin-Schultz estimate as a liquidity measure. Design/methodology/approach – The authors carry out their examination based on the portfolio approach, cross-sectional regressions, and time-series regressions. For comparison, the authors also adopt other three liquidity proxies and mainly rely on the Fama-French three-factor model as the benchmark. The sample includes NYSE/AMEX/ARCA/NASDAQ ordinary common stocks over 1926-2010. Findings – The paper finds that Corwin-Schultz spread lacks significant power to predict returns either in the pre- or post-1963 period. In contrast, other liquidity measures such as the price impact of Amihud (2002), trading discontinuity of Liu (2006), and turnover show stronger return predictability than the Corwin-Schultz spread estimate. Research limitations/implications – The evidence indicates the limited ability of the Corwin-Schultz spread estimate to describe liquidity. Practical implications – The comparison of the Corwin-Schultz spread with other liquidity measures helps practitioners and academic researchers to identify the appropriate proxy. Originality/value – This paper, for the first time, provides a thorough assessment of the Corwin-Schultz spread estimate as a liquidity proxy, which distinguish from Corwin and Schultz (2012) who focus on whether their spread estimate measures transaction costs. Our study not only helps practitioners and academic researchers to select an adequate liquidity measure and an asset pricing model to use, but it also sheds light on the current debate about whether transaction costs have the first order importance in asset pricing.

scholarly journals Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Rapheedah Musneh ◽  
Mohd. Rahimie Abdul Karim ◽  
Caroline Geetha A/P Arokiadasan Baburaw
Keyword(s):  
Stock Returns ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Policy Implications ◽  
Liquidity Premium ◽  
Industrial Products ◽  
Cross Sectional ◽  
Services Sector ◽  
The Cross ◽  
The Impact

AbstractThis study investigates the impact of liquidity risk on stock returns of 149 firms in the industrial products and services sectors of Bursa Malaysia from January 2000 to December 2018 with a monthly frequency dataset. This study employed the two-stage standard procedures in asset pricing to estimate the significant effect of liquidity risk on industrial products and services stock returns. The results show that the investors require liquidity premium for stocks whose illiquidity co-moves with market illiquidity and market return while shifting their investment to liquid stocks when the market becomes illiquid, thus positive premium for stocks whose return is higher during the illiquid market. It suggests that two liquidity risks, namely commonality in liquidity and the covariances between stock illiquidity and market returns, and aggregate liquidity risk explain the cross-sectional returns variations across stocks in the industrial products and services sector, thus partly support the LCAPM model. We provide evidence on the important role of liquidity risks on the cross-sectional industrial products and services stock returns in Bursa Malaysia in the LCAPM framework. The findings of this study may be useful for investment decision-making and portfolio allocation strategy under the liquid and illiquid securities conditions. For policymakers, understanding the impact of liquidity risks on stock returns for the industrial products and services sectors may help enhance market liquidity for economic growth. Therefore, our findings contribute to the practical and policy implications.

Automated Image Analysis Of Nuclear And Cytoplasmic Changes In Exfoliated Cells From Tracheas Treated With Carcinogen

1977 ◽  
Vol 35 ◽  
pp. 220-221
Author(s):  
S.F. Stinson ◽  
J.C. Lilga ◽  
M.B. Sporn
Keyword(s):  
Image Analysis ◽  
Pattern Analysis ◽  
Relative Proportion ◽  
Automated Image Analysis ◽  
Image Analyzer ◽  
Cross Sectional ◽  
Exfoliated Cells ◽  
Neoplastic Lesions ◽  
Analysis System ◽  
Morphologic Criterion

Increased nuclear size, resulting in an increase in the relative proportion of nuclear to cytoplasmic sizes, is an important morphologic criterion for the evaluation of neoplastic and pre-neoplastic cells. This paper describes investigations into the suitability of automated image analysis for quantitating changes in nuclear and cytoplasmic cross-sectional areas in exfoliated cells from tracheas treated with carcinogen.Neoplastic and pre-neoplastic lesions were induced in the tracheas of Syrian hamsters with the carcinogen N-methyl-N-nitrosourea. Cytology samples were collected intra-tracheally with a specially designed catheter (1) and stained by a modified Papanicolaou technique. Three cytology specimens were selected from animals with normal tracheas, 3 from animals with dysplastic changes, and 3 from animals with epidermoid carcinoma. One hundred randomly selected cells on each slide were analyzed with a Bausch and Lomb Pattern Analysis System automated image analyzer.

X-Ray Replication of Submicrometer Linewidth Patterns

1977 ◽  
Vol 35 ◽  
pp. 136-137
Author(s):  
Henry I. Smith ◽  
D.C. Flanders
Keyword(s):  
Electron Beam Lithography ◽  
Cross Sectional ◽  
X Ray ◽  
Electron Backscattering ◽  
Spatial Frequencies ◽  
Cross Sectional Profile ◽  
Carbon Foils ◽  
Sectional Profile ◽  
And Control ◽  
Soft Radiation

Scanning electron beam lithography has been used for a number of years to write submicrometer linewidth patterns in radiation sensitive films (resist films) on substrates. On semi-infinite substrates, electron backscattering severely limits the exposure latitude and control of cross-sectional profile for patterns having fundamental spatial frequencies below about 4000 Å(l),Recently, STEM'S have been used to write patterns with linewidths below 100 Å. To avoid the detrimental effects of electron backscattering however, the substrates had to be carbon foils about 100 Å thick (2,3). X-ray lithography using the very soft radiation in the range 10 - 50 Å avoids the problem of backscattering and thus permits one to replicate on semi-infinite substrates patterns with linewidths of the order of 1000 Å and less, and in addition provides means for controlling cross-sectional profiles. X-radiation in the range 4-10 Å on the other hand is appropriate for replicating patterns in the linewidth range above about 3000 Å, and thus is most appropriate for microelectronic applications (4 - 6).

A Field Emission System For Transmission Electron Microscopy

1973 ◽  
Vol 31 ◽  
pp. 298-299
Author(s):  
Michel Troyonal ◽  
Huei Pei Kuoal ◽  
Benjamin M. Siegelal
Keyword(s):  
Electron Microscope ◽  
Field Emission ◽  
Optical System ◽  
High Vacuum ◽  
Ultra High Vacuum ◽  
Objective Lens ◽  
Electron Optical System ◽  
Cross Sectional ◽  
Transmission Electron ◽  
Emission System

A field emission system for our experimental ultra high vacuum electron microscope has been designed, constructed and tested. The electron optical system is based on the prototype whose performance has already been reported. A cross-sectional schematic illustrating the field emission source, preaccelerator lens and accelerator is given in Fig. 1. This field emission system is designed to be used with an electron microscope operated at 100-150kV in the conventional transmission mode. The electron optical system used to control the imaging of the field emission beam on the specimen consists of a weak condenser lens and the pre-field of a strong objective lens. The pre-accelerator lens is an einzel lens and is operated together with the accelerator in the constant angular magnification mode (CAM).

Microstructural characterization of CoPtCr/Cr thin film disks by cross-section TEM and elongated probe micro-diffraction

1991 ◽  
Vol 49 ◽  
pp. 762-763
Author(s):  
M.A. Parker ◽  
K.E. Johnson ◽  
C. Hwang ◽  
A. Bermea
Keyword(s):  
Magnetic Recording ◽  
Electron Probe ◽  
Microstructural Characterization ◽  
Crystallographic Structure ◽  
Recording Media ◽  
Layer By Layer ◽  
Cross Sectional ◽  
New Techniques ◽  
Polished Side

We have reported the dependence of the magnetic and recording properties of CoPtCr recording media on the thickness of the Cr underlayer. It was inferred from XRD data that grain-to-grain epitaxy of the Cr with the CoPtCr was responsible for the interaction observed between these layers. However, no cross-sectional TEM (XTEM) work was performed to confirm this inference. In this paper, we report the application of new techniques for preparing XTEM specimens from actual magnetic recording disks, and for layer-by-layer micro-diffraction with an electron probe elongated parallel to the surface of the deposited structure which elucidate the effect of the crystallographic structure of the Cr on that of the CoPtCr.XTEM specimens were prepared from magnetic recording disks by modifying a technique used to prepare semiconductor specimens. After 3mm disks were prepared per the standard XTEM procedure, these disks were then lapped using a tripod polishing device. A grid with a single 1mmx2mm hole was then glued with M-bond 610 to the polished side of the disk.

Computer Reconstruction of the Cellular Architecture of the Daphnia Magna Optic Ganglion

1975 ◽  
Vol 33 ◽  
pp. 284-285
Author(s):  
E. R. Macagno ◽  
C. Levinthal
Keyword(s):  
Daphnia Magna ◽  
Genetic Background ◽  
Compound Eye ◽  
Synaptic Connectivity ◽  
Serial Sections ◽  
Cross Sectional ◽  
Small Crustacean ◽  
Optic Ganglion ◽  
Structural Invariance ◽  
High Degree

The optic ganglion of Daphnia Magna, a small crustacean that reproduces parthenogenetically contains about three hundred neurons: 110 neurons in the Lamina or anterior region and about 190 neurons in the Medulla or posterior region. The ganglion lies in the midplane of the organism and shows a high degree of left-right symmetry in its structures. The Lamina neurons form the first projection of the visual output from 176 retinula cells in the compound eye. In order to answer questions about structural invariance under constant genetic background, we have begun to reconstruct in detail the morphology and synaptic connectivity of various neurons in this ganglion from electron micrographs of serial sections (1). The ganglion is sectioned in a dorso-ventra1 direction so as to minimize the cross-sectional area photographed in each section. This area is about 60 μm x 120 μm, and hence most of the ganglion fit in a single 70 mm micrograph at the lowest magnification (685x) available on our Zeiss EM9-S.

Sign in / Sign up

Export Citation Format

Share Document