Do financial distress and liquidity crises affect value and size premiums?

van Dellen, S. 2016. Do financial distress and liquidity crises affect value and size premiums? Applied Economics. 48 (39), pp. 3734-3751. https://doi.org/10.1080/00036846.2016.1145345

TitleDo financial distress and liquidity crises affect value and size premiums?
TypeJournal article
AuthorsBas, T.
Elgammal, M.M.
Gough, O.
Shah, N.S.
Van Dellen, S.
Abstract

This study investigates the impact of liquidity crises on the relationship between stock (value and size) premiums and default risk in the US market. It first examines whether financial distress can explain value and size premiums, and then, subsequently, aims to determine whether liquidity crises increase the risk of value and size premium investment strategies. The study employs a time-varying approach and a sample of US stock returns for the period between January 1982 and March 2011, a period which includes the current liquidity crisis, so as to examine the relationship between default risk, liquidity crises and value and size premiums. The findings indicate that the default premium has explanatory power for value and size and premiums, which affect firms with different characteristics. We also find that liquidity crises may actually increase the risks related to size and value premium strategies.

KeywordsDefault Risk; Value Premium; Size Premium; Liquidity Crises
JournalApplied Economics
Journal citation48 (39), pp. 3734-3751
ISSN0003-6846
Year2016
PublisherTaylor & Francis
Accepted author manuscript
Digital Object Identifier (DOI)https://doi.org/10.1080/00036846.2016.1145345
Publication dates
Published08 Mar 2016

Related outputs

The value effects of changes in leverage
Bas, T, Sivaprasad, S. and van Dellen, S. 2020. The value effects of changes in leverage. Tourism Analysis: An Interdisciplinary Tourism & Hospitality Journal. Advanced online publication. https://doi.org/10.3727/108354220X15961981728521

The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk
van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2019. The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk. 27th Edition of International Rome Conference on Money, Banking & Finance. Rome, Italy 10 - 11 Dec 2018

The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk
Van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2018. The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk. 11th Edition of International Risk Management Conference (Risk Society). Paris, France 07 - 08 Jun 2018

The impact of conditional higher moments on risk management: The case of the tanker freight market
Van Dellen, S., Alizadeh, A.H. and Nomikos, N.K 2017. The impact of conditional higher moments on risk management: The case of the tanker freight market. 25th Annual Conference of the International Association of Maritime Economists. Kyoto, Japan 27 - 30 Jun 2017

US and Canadian term structures of interest rates: A forecasting comparison
Van Dellen, S., Juneja, J.A., Nowman, K.B. and Zhao, G. 2016. US and Canadian term structures of interest rates: A forecasting comparison. 23rd Annual Conference of the Multinational Finance Society. Stockholm, Sweden 26 - 29 Jun 2016

The value effects of changes in leverage: Evidence from the Travel and Leisure sector
Van Dellen, S., Sivaprasad, S. and Bas, T. 2015. The value effects of changes in leverage: Evidence from the Travel and Leisure sector. 22nd Annual Conference of the Multinational Finance Society. Halkidiki, Greece 28 Jun - 01 Jul 2015

A regime switching approach for hedging tanker shipping freight rates
van Dellen, S. 2015. A regime switching approach for hedging tanker shipping freight rates. Energy Economics. 49, pp. 44-59 ENEECO-D-14-00562. https://doi.org/10.1016/j.eneco.2015.01.004

Forecasting long-term UK interest rates
Gough, O., Nowman, K.B. and Van Dellen, S. 2014. Forecasting long-term UK interest rates. Empirical Economics Letters. 13 (10).

Modelling and forecasting international interest rate spreads: UK, Germany, Japan and the US
Gough, O., Nowman, K.B. and Van Dellen, S. 2014. Modelling and forecasting international interest rate spreads: UK, Germany, Japan and the US. International Journal of Financial Engineering and Risk Management. 1 (4), pp. 309-333. https://doi.org/10.1504/IJFERM.2014.065648

Empirical analysis of the US swap curve
Gough, O., Juneja, J.A., Nowman, K.B. and Van Dellen, S. 2013. Empirical analysis of the US swap curve. The Empirical Economics Letters. 12 (9), pp. 985-994.

Forecasting daily UK interest rates using continuous time and ARIMA, ARFIMA models
Gough, O., Nowman, K.B. and Van Dellen, S. 2013. Forecasting daily UK interest rates using continuous time and ARIMA, ARFIMA models. Empirical Economics Letters. 12 (8), p. 813.

Forecasting Overseas Visitors to the UK Using Continuous Time and Autoregressive Fractional Integrated Moving Average Models with Discrete Data
van Dellen, S. 2012. Forecasting Overseas Visitors to the UK Using Continuous Time and Autoregressive Fractional Integrated Moving Average Models with Discrete Data. Tourism Economics. 18 (4), pp. 835-844. https://doi.org/10.5367/te.2012.0144

Permalink - https://westminsterresearch.westminster.ac.uk/item/9vxw8/do-financial-distress-and-liquidity-crises-affect-value-and-size-premiums


Share this
Tweet
Email

Usage statistics

65 total views
106 total downloads
4 views this month
9 downloads this month
These values are for the period from September 2nd 2018, when this repository was created

Export as