Sean A. Anthonisz

University of Technology Sydney , Sydney, New South Wales, Australia

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Publications (4)0 Total impact

  • Sean A. Anthonisz, Tālis J. Putniņš
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    ABSTRACT: This paper contributes to the debate about the extent to which liquidity risk affects asset prices. Motivated by evidence on downward liquidity spirals, flights to liquidity and investor perceptions of risk, we develop and test a liquidity-adjusted capital asset pricing model in which the key innovation is separating liquidity risk into asymmetric upside and downside risks. Our model bridges the literature on asset pricing implications of liquidity and the literature on nonlinear pricing kernels. We find strong empirical support for the model in cross-sectional tests. Stocks with high downside liquidity risk command an economically meaningful expected return premium, which is distinct from that of upside liquidity risk. Expected illiquidity is also associated with a return premium. The premiums are robust to permutations of the model and controlling for a wide range of other known factors including the market, size, and value factors, momentum, short-term reversal, and co-skewness.
    04/2013;
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    Sean A. Anthonisz
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    ABSTRACT: The mean-lower partial-moment CAPM is an analogue of the Sharpe-Lintner CAPM. The partial-moment analogue of the Black CAPM has to date proven illusive. In this paper, the mean-threshold probability weighted lower partial-moment framework is introduced. A new pricing model is derived in this framework, building on new theorems on stochastic dominance and zero-beta separation. This model is the partial-moment analogue of the Black CAPM and completes a parallelism in the literature. Unlike the Black CAPM, the model is not rejected under a generalized method of moments test. A Bonferroni correction adds weight to this conclusion.
    06/2011;
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    Sean A. Anthonisz
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    ABSTRACT: I bridge the current pricing kernel framework with the early partial-moment pricing models of the beta framework, thereby reconciling and clarifying these bodies of literature. I argue for the inclusion of powers of min and max functions within a generalized kernel, and form a generalized beta model. Polynomial kernels and the kernel underpinning the partial-moment analogue of the Sharpe-Lintner CAPM are nested. I derive the partial-moment analogue to the Black CAPM, thus completing a theoretical parallelism, and compare the kernel-implied and canonical risk-neutral probabilities. A new model involving both lower and upper partial-moments, accommodating various kernel shapes present in the literature, is developed in the context of preference regularity conditions.
    06/2011;
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    Sean A. Anthonisz
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    ABSTRACT: There is strong empirical evidence supporting capital structure targeting, dividend policy targeting, and the existence of dividend clienteles. If these features are understood to enhance firm value, subject to manager preferences, then this evidence also advances the notion that financial synergy could explain the ambiguous landscape of corporate synergy studies. I apply a new structural model of the firm to the problem of determining operational and financial synergies - and in particular, their division between acquirer and target. The results are sensitive to capital structure, dividend policy, and financing. Several empirical studies assume that firm value is linear (and monotonic) in capital structure and financing method. Using the new structural model, I suggest an alternative approach to the calculation of abnormal returns that avoids this assumption. This approach separates financial and operational synergy and provides a testable hypothesis.
    06/2010;