A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework
Year of publication: |
2013
|
---|---|
Authors: | Papavassiliou, Vassilios G. |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 24.2013, C, p. 184-197
|
Publisher: |
Elsevier |
Subject: | Model-free liquidity betas | Liquidity-adjusted CAPM | High-frequency data | Realized betas |
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