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

Bas, T., Elgammal, M.M., Gough, O., Shah, N.S. and 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. and 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
1466-4283
Year2016
PublisherTaylor & Francis
Accepted author manuscript
File Access Level
Open (open metadata and files)
Digital Object Identifier (DOI)https://doi.org/10.1080/00036846.2016.1145345
Web address (URL)http://dx.doi.org/10.1080/00036846.2016.1145345
Publication dates
Published online08 Mar 2016

Related outputs

Connectedness Between Central Bank Digital Currency Index, Financial Stability and Digital Assets
Sivaprasad, S., Bas, T. and Malki, I. 2024. Connectedness Between Central Bank Digital Currency Index, Financial Stability and Digital Assets. Journal of International Financial Markets, Institutions and Money. 92 101981. https://doi.org/10.1016/j.intfin.2024.101981

Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs?
Sivaprasad, S., Bas, T. and Malki, I. 2024. Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs? Heliyon. 10 (2) e24615. https://doi.org/10.1016/j.heliyon.2024.e24615

Accounting, accountability and governance in junior stock markets
Shah, N.S. 2023. Accounting, accountability and governance in junior stock markets. in: Carnegie, G. and Napier, C. (ed.) Handbook of Accounting, Accountability and Governance Edward Elgar. pp. 196-214

The use and measurement of communication self-efficacy techniques in a UK undergraduate accounting course
Roberts, Martin, Shah, Neeta, Mali, Dafydd, Arquero, Jose, Joyce, J. and Hassall, T. 2023. The use and measurement of communication self-efficacy techniques in a UK undergraduate accounting course. Accounting Education. 32 (6), pp. 735-763. https://doi.org/10.1080/09639284.2022.2113108

Accounting Classification in the Era of International Financial Reporting Standards: The case of Africa
Elad, C., Shah, N.S. and Agyeman, C. 2023. Accounting Classification in the Era of International Financial Reporting Standards: The case of Africa. Journal of International Accounting, Auditing and Taxation. 51 100546. https://doi.org/10.1016/j.intaccaudtax.2023.100546

An Exploratory Insight into the Impact of COVID-19 on the Travel and Tourism Sector: UK Evidence
Sivaprasad, S. and Bas, T. 2022. An Exploratory Insight into the Impact of COVID-19 on the Travel and Tourism Sector: UK Evidence. in: Karabulut, Ş. (ed.) Economic and Financial Analysis of Global and National Developments Turkey Ekin.

Financialization and later life financial (in)security: the Twice Migrant Gujarati households of west London
Shah, N.S. 2022. Financialization and later life financial (in)security: the Twice Migrant Gujarati households of west London. 4th Alternative Accounts Europe (AAE) Conference. University of Birmingham, UK 07 Jan 2022

The value effects of changes in leverage
Bas, Tugba, Sivaprasad, Sheeja and Dellen, Stefan van 2022. The value effects of changes in leverage. Tourism Analysis. 27 (4), pp. 547-552. https://doi.org/10.3727/108354220x15961981728521

Dynamic Capability and Strategic Corporate Social Responsibility Adoption: Evidence from China
Li, J., Benamraoui, A., Shah, N.S. and Mathew, S. 2021. Dynamic Capability and Strategic Corporate Social Responsibility Adoption: Evidence from China. Sustainability. 13 (10) e5333. https://doi.org/10.3390/su13105333

The Effect of Block Ownership on Future Firm Value and Performance
Benamraoui, A., Jory, S.R., Mazouz, K., Shah, N.S. and Gough, O. 2019. The Effect of Block Ownership on Future Firm Value and Performance. The North American Journal of Economics and Finance. 50, p. 100982 100982. https://doi.org/10.1016/j.najef.2019.04.025

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

Governors and directors: Competing models of corporate governance
Shah, N.S. and Napier, C.J. 2019. Governors and directors: Competing models of corporate governance. Accounting History. 24 (3), pp. 338-355. https://doi.org/10.1177/1032373218800839

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

The principle of legal certainty as a principle of economic efficiency
Portuese, A., Gough, O. and Tanega, J. 2017. The principle of legal certainty as a principle of economic efficiency. European Journal of Law and Economics. 44 (1), pp. 131-156. https://doi.org/10.1007/s10657-014-9435-2

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., Alizadeh, A.H. and Huang, C.-Y. 2015. A regime switching approach for hedging tanker shipping freight rates. Energy Economics. 49, pp. 44-59. https://doi.org/10.1016/j.eneco.2015.01.004

How does a firm's capital structure affect stock performance?
Sivaprasad, S., Adami, R., Gough, O. and Muradoglu, Y.G. 2015. How does a firm's capital structure affect stock performance? Frontiers in Finance and Economics. 12 (1), pp. 1-31.

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).

What drives the purchase decision in pensions and long-term investment products in the UK?
Gough, O. and Adami, R. 2014. What drives the purchase decision in pensions and long-term investment products in the UK? in: Harrison, T. and Estelami, H. (ed.) The Routledge Companion to Financial Services Marketing London Routledge. pp. 91-99

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

An empirical analysis of the performance of pension funds: evidence from UK
Sivaprasad, S., Adami, R., Gough, O. and Mukherjee, S. 2014. An empirical analysis of the performance of pension funds: evidence from UK. Studies in Economics and Finance. 31 (2), pp. 141-155. https://doi.org/10.1108/SEF-10-2012-0118

Do optimists plan for retirement? A behavioural explanation for non-participation in pension schemes
Balasuriya, J., Gough, O. and Vasileva, K. 2014. Do optimists plan for retirement? A behavioural explanation for non-participation in pension schemes. Economics Letters. 125 (3), pp. 396-399. https://doi.org/10.1016/j.econlet.2014.10.012

Corporate reporting implication in migrating from defined benefit to defined contribution pension schemes: A focus on the UK
Josiah, J., Gough, O., Haslam, J. and Shah, N.S. 2014. Corporate reporting implication in migrating from defined benefit to defined contribution pension schemes: A focus on the UK. Accounting Forum. 38 (1), pp. 18-37. https://doi.org/10.1016/j.accfor.2013.10.003

Permanent sovereignty over natural resources in the 21st century: natural resource governance and the right to self-determination of indigenous peoples under international law
Pereira, R. and Gough, O. 2013. Permanent sovereignty over natural resources in the 21st century: natural resource governance and the right to self-determination of indigenous peoples under international law. Melbourne Journal of International Law. 14 (2), pp. 451-495.

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.

Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?
Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Are there return and volatility spillovers from major bank stocks to the national stock market in the UK? in: Jeon, B.N. and Olivero, M.P. (ed.) Global Banking, Financial Markets and Crises (International Finance Review, Vol. 14) Emerald Publishing Limited. pp. 243 - 268

Continuous and discrete time modelling of spillovers in equity and bond markets
Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Continuous and discrete time modelling of spillovers in equity and bond markets. International Journal of Bonds and Derivatives. 1 (1), pp. 54-87. https://doi.org/10.1504/IJBD.2013.056935

The effect of labour earnings on post retirement income
Adami, R., Gough, O. and Theophilopoulou, A. 2013. The effect of labour earnings on post retirement income. Journal of Economic Studies. 40 (3), pp. 284-297. https://doi.org/10.1108/01443581311283925

Saving for retirement: a review of ethnic minorities in the UK
Gough, O. and Adami, R. 2013. Saving for retirement: a review of ethnic minorities in the UK. Social Policy and Society. 12 (1), pp. 147-161. https://doi.org/10.1017/S1474746412000516

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.

Welfare systems and adequacy of pension benefits in Europe
Gough, O. and Adami, R. 2012. Welfare systems and adequacy of pension benefits in Europe. Social Policy and Society. 11 (1), pp. 41-53. https://doi.org/10.1017/S147474641100039X

Forecasting Overseas Visitors to the UK Using Continuous Time and Autoregressive Fractional Integrated Moving Average Models with Discrete Data
Nowman, K.B. and 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

Retirement saving choices: review of the literature and policy implications
Gough, O. and Niza, C. 2011. Retirement saving choices: review of the literature and policy implications. Journal of Population Ageing. 4 (1-2), pp. 97-117. https://doi.org/10.1007/s12062-011-9046-4

Corporate  rescue in the UK and the effect of the TUPE
Kastrinou, A., Shah, N.S. and Gough, O. 2011. Corporate  rescue in the UK and the effect of the TUPE. Company Lawyer. 32 (5), pp. 131-137.

The impact of the shifting pensions landscape on the psychological contract
Gough, O. and Arkani, S. 2011. The impact of the shifting pensions landscape on the psychological contract. Personnel Review. 40 (2), pp. 173-184. https://doi.org/10.1108/00483481111106066

Reconsidering disclosure and liability in the transatlantic capital markets
Brewer, M.K., Gough, O. and Shah, N.S. 2011. Reconsidering disclosure and liability in the transatlantic capital markets. DePaul business & commercial law journal. 9, pp. 257-292.

Understanding what drives the purchase decision in pension and investment products
Gough, O. and Nurallah, M. 2009. Understanding what drives the purchase decision in pension and investment products. Journal of Financial Services Marketing. 14 (2), pp. 152-172. https://doi.org/10.1057/fsm.2009.14

Ethnic minorities, retirement planning and personal accounts
Gough, O. and Hick, R. 2009. Ethnic minorities, retirement planning and personal accounts. International Journal of Sociology and Social Policy. 29 (9/10), pp. 488-497. https://doi.org/10.1108/01443330910986270

Employee evaluations of occupational pensions
Gough, O. and Hick, R. 2009. Employee evaluations of occupational pensions. Employee Relations. 31 (2), pp. 158-167. https://doi.org/10.1108/01425450910925300

The effects of age and income on retirement decisions: a comparative analysis between Italy and the UK
Gough, O., Adami, R. and Waters, J. 2008. The effects of age and income on retirement decisions: a comparative analysis between Italy and the UK. Pensions: an International Journal. 13 (3), pp. 167-175. https://doi.org/10.1057/pm.2008.12

An international study on the adequacy of retirement income
Gough, O. and Adami, R. 2008. An international study on the adequacy of retirement income. International Association for Research in Income and Wealth (IARIW) 30th General Conference. Portoroz, Slovenia 24 - 30 Aug 2008

Pension reforms and saving for retirement: comparing the United Kingdom and Italy
Adami, R. and Gough, O. 2008. Pension reforms and saving for retirement: comparing the United Kingdom and Italy. Policy Studies. 29 (2), pp. 119-135. https://doi.org/10.1080/01442870802033340

The impact of occupational pensions on retirement age
Arkani, S. and Gough, O. 2007. The impact of occupational pensions on retirement age. Journal of Social Policy. 36 (2), pp. 297-318. https://doi.org/10.1017/S0047279406000614

Age discrimination, the default retirement age and occupational pensions: experiences from Canada and predictions for Britain
Connolly, M. and Gough, O. 2007. Age discrimination, the default retirement age and occupational pensions: experiences from Canada and predictions for Britain. Web Journal of Current Legal Issues. 1 Web.

Independent financial advisers: why they remain the strongest distribution route for pensions
Gough, O. 2005. Independent financial advisers: why they remain the strongest distribution route for pensions. Service Industries Journal. 25 (5), pp. 709-720. https://doi.org/10.1080/02642060500101120

Pensions and retirement savings: cluster analysis of consumer behaviour and attitudes
Gough, O. and Sozou, P.D. 2005. Pensions and retirement savings: cluster analysis of consumer behaviour and attitudes. International Journal of Bank Marketing. 23 (7), pp. 558-570. https://doi.org/10.1108/02652320510629917

Why do employees, particularly women, reject occupational pension schemes?
Gough, O. 2004. Why do employees, particularly women, reject occupational pension schemes? Employee Relations. 26 (5), pp. 480-494. https://doi.org/10.1108/01425450410550464

Analysis of continuous time models of the euro interbank rate
Gough, O., Nowman, K.B. and Nurallah, M. 2004. Analysis of continuous time models of the euro interbank rate. Finance Letters. 2 (1), pp. 1-4.

Employee evaluations of company occupational pensions: HR implications
Hales, C. and Gough, O. 2003. Employee evaluations of company occupational pensions: HR implications. Personnel Review. 32 (3), pp. 319-340. https://doi.org/10.1108/00483480310467642

Factors that influence voluntary and involuntary retirement
Gough, O. 2003. Factors that influence voluntary and involuntary retirement. Pensions: an International Journal. 8 (3), pp. 252-264.

Savings for retirement?: the different products individuals use
Gough, O. 2002. Savings for retirement?: the different products individuals use. International Journal of Applied Marketing. 1, pp. 54-68.

The impact of the gender pay gap on post-retirement earnings
Gough, O. 2001. The impact of the gender pay gap on post-retirement earnings. Critical Social Policy. 21 (3), pp. 311-334.

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


Share this

Usage statistics

165 total views
248 total downloads
These values cover views and downloads from WestminsterResearch and are for the period from September 2nd 2018, when this repository was created.