Default Risk, Liquidity Risk, and Equity Returns: Evidence from the Taiwan Market

Chen, Che Min; Lee, Han-Hsing

doi:10.2753/ree1540-496x490106

Cited by 9 publications

(1 citation statement)

References 30 publications

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“…Chen and Lee (2013) show that default risk has some power to explain stock returns on the Taiwanese stock market. Chen and Lee (2013) show that default risk has some power to explain stock returns on the Taiwanese stock market.…”

Section: Discussionmentioning

confidence: 98%

Macro Liquidity Risk, Money Growth, and the Cross-Section of Stock Returns: The Case of Korea

Jung

Kim

2015

Emerging Markets Finance and Trade

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According to the homogeneity of money holding purpose, we decompose the broad money M2 into an underlying and a non-underlying part and propose innovations in future non-underlying M2 growth as a proxy for macro liquidity. In both the cross-sectional regression tests and the GMM tests, we find that risk related to innovations in future non-underlying M2 growth is strongly significantly priced in Korea, after controlling for the well-known risk factors and other macroeconomic variables. Meanwhile, risk related to innovations in future aggregate or underlying M2 growth is insignificantly priced. These results indicate that non-underlying M2 growth more directly affects macro liquidity than does aggregate or underlying M2 growth.KEY WORDS: broad money M2, cross-sectional regression test, economic tracking portfolio, GMM tests, innovations in future money growth, risk factor, underlying and non-underlying M2

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Section: Discussionmentioning

confidence: 98%