This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.

Modelling Financial Time Series

Annual Energy Outlook

Environmental Degradation in France: The Effects of FDI, Financial Development, and Energy Innovations

Economic Backwardness in Historical Perspective: A Book of Essays

https://www.edwards.usask.ca/centres/csfm/_files/papers2010/3b-The%20Role%20of%20Shareholder%20Proposals%20in%20Corporate%20Governance,%20L.%20Renneboog%20and%20P.%20Szilagyi.pdf

The role of shareholder proposals in corporate governance

Hedging stocks with oil

This paper reopens the debate on the substitutability of dividends and shareholder control in mitigating free cash flow concerns, by examining dividend behavior when shareholder control is restricted in the firm.We consider the stakeholder-oriented governance regime of the Netherlands, where shareholdings are concentrated, but shareholder rights are often severely restricted by a legally imposed governance regime and anti-shareholder devices such as Dutch-style poison pills.We find that dividend payouts are generally low, unresponsive to earnings changes and show little relationship with size, leverage, and investment opportunities.Shareholder power restrictions affect dividend behavior to varying degrees, but those that do are used by the vast majority of Dutch listed firms.Once accounting for these, we find no evidence that strong shareholders would allow firms to relax their dividend policy, as has been proposed in the existing literature.As shareholders, institutional investors and managers actually force higher payouts.Thus, it seems that dividends often complement rather than substitute shareholders efforts to alleviate agency concerns.This finding is unlikely to be specific to the Netherlands, and could possibly be extended to other stakeholder-oriented governance regimes.

How Relevant is Dividend Policy under Low Shareholder Protection

This paper is the first to investigate the corporate governance role of shareholder-initiated proxy proposals in European firms. Proposal submissions in Europe remain infrequent compared to the USA, especially in Continental Europe. In the UK proposals typically relate to a proxy contest seeking board changes, while in Continental Europe they are more focused on specific governance issues. There is some evidence that proposal sponsors are valuable monitors, because the target firms tend to underperform and have low leverage. Sponsors also consider the ownership structure of the firm, because proposal probability increases in the target's ownership concentration and the equity stake of institutional investors. While proposals enjoy limited voting success across Europe, they are relatively more successful in the UK. The outcomes are strongest for proposals targeting the board but are also affected by the target characteristics including the CEO's pay-performance sensitivity. Proposals are met with a significant negative abnormal return of −1.23%, when they are voted upon at general meetings. The low voting support gathered by proposals and the strongly adverse market reaction suggest that shareholders of European companies use proposals as an emergency brake rather than a steering wheel.

/pdf/shareholder-activism-through-proxy-proposals-the-european-2xpyeh6b2k.pdf

Peter G. Szilagyi

Papers

The role of shareholder proposals in corporate governance

Hedging stocks with oil

How Relevant is Dividend Policy under Low Shareholder Protection

Shareholder Activism through Proxy Proposals: The European Perspective

Can stock market investors hedge energy risk? Evidence from Asia