Market downturns, zero investment strategies and systematic liquidity risk
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DOI: 10.1016/j.frl.2018.05.010
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Cited by:
- Hilal Anwar Butt & Nader Shahzad Virk, 2022. "Momentum crashes and variations to market liquidity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1899-1911, April.
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More about this item
Keywords
Momentum crashes; Market downturns; Zero-investment strategies; Systematic liquidity beta; Illiquidity gaps;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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