Consumption, liquidity and the cross-sectional variation of expected returns
Year of publication: |
2010-07
|
---|---|
Authors: | Márquez, Elena ; Doménech, Belén Nieto ; Irigoyen, Gonzalo Rubio |
Institutions: | Instituto Valenciano de Investigaciones Económicas (IVIE) |
Subject: | stochastic discount factor | ultimate consumption risk | market-wide liquidity | illiquidity premium seasonality |
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