René Garcia - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:56:20+00:00Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
https://www.bankofcanada.ca/2015/03/working-paper-2015-12/
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.2015-03-19T14:57:07+00:00enFunding Liquidity, Market Liquidity and the Cross-Section of Stock Returns2015-03-19Asset pricingFinancial marketsWorking Paper 2015-12https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-12.pdfFunding Liquidity, Market Liquidity and the Cross-Section of Stock ReturnsJean-Sébastien FontaineRené GarciaSermin GungorMarch 2015EE4E43HH1H12