Illiquidity contagion and pricing of commonality risk : evidence from a dynamic conditional correlation model
Nardos Beyene, Peng Huang, C. James Hueng
| Year of publication: |
2021
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|---|---|
| Authors: | Beyene, Nardos ; Huang, Peng ; Hueng, C. James |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 39.2021, p. 1-7
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| Subject: | Commonality risk premium | Illiquidity contagion | Liquidity-adjusted capital asset pricing model | CAPM | Risikoprämie | Risk premium | Theorie | Theory | Korrelation | Correlation | Liquidität | Liquidity | Ansteckungseffekt | Contagion effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2020.101571 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012805167