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Full-Text Articles in Finance and Financial Management
Liquidity, Governance And Adverse Selection In Asset Pricing, Sascha Strobl
Liquidity, Governance And Adverse Selection In Asset Pricing, Sascha Strobl
FIU Electronic Theses and Dissertations
A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for.
In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, …
Income Inequality And Stock Pricing In The U.S. Market, Minh T. Nguyen
Income Inequality And Stock Pricing In The U.S. Market, Minh T. Nguyen
Lawrence University Honors Projects
In this research, the effect of income inequality as measured by the share of national income going to the wealthiest 10% of the nation in the U.S. is assessed for its significance at explaining stock returns in the U.S from 1927 to 2012. Income inequality has always been an important economic indicator and it has the potential to become one of the fundamental sources of risk that affect stock prices. By utilizing the Fama-French three-factor model, this research obtains the inequality beta coefficient, and the inequality risk premium. In turn, the findings of this research suggest the existence of a …