Buy this book
"This paper solves explicitly an equilibrium asset pricing model with liquidity risk--the risk arising from unpredictable changes in liquidity over time. In our liquidity-adjusted 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 market return and market liquidity. In addition, the model shows how a negative shock to a security's liquidity, if it is persistent, results in low contemporaneous returns and high predicted future returns. The model provides a simple, 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"--National Bureau of Economic Research web site.
Buy this book
Showing 2 featured editions. View all 2 editions?
Edition | Availability |
---|---|
1 |
zzzz
Libraries near you:
WorldCat
|
2
Asset pricing with liquidity risk
2004, National Bureau of Economic Research
Electronic resource
in English
|
aaaa
|
Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 1/7/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?December 13, 2020 | Edited by MARC Bot | import existing book |
November 28, 2012 | Edited by AnandBot | Fixed spam edits. |
November 23, 2012 | Edited by 188.190.127.71 | Edited without comment. |
December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
December 10, 2009 | Created by WorkBot | add works page |