Predicting Extreme Quantiles of Financial Returns: The Role and Information Content of Market Liquidity

Investor logo


Year of publication 2022
MU Faculty or unit

Faculty of Economics and Administration

Web Associated project
Attached files
Description An accurate estimation of uncertainty related to the prices of financial assets is among the main interests of researchers and practitioners. Due to the ever changing nature of financial markets, it is still a challenge to find good explanatory variables of the market risks. Within these, we show that the liquidity measures bear useful information content related to the forecasts of extreme quantiles of price returns. In addition, we demonstrate the liquidity explanatory power to differ with the size of market capitalization on total sample of 190 companies. Lastly, we provide an evidence on the issue of mutual interchangeability of liquidity benchmarks and liquidity proxies.
Related projects:

You are running an old browser version. We recommend updating your browser to its latest version.