The pricing of liquidity risk on the Shanghai stock market
Year of publication: |
July 2015
|
---|---|
Authors: | Ho, Tsung-wu ; Chang, Shu-Hwa |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 38.2015, p. 112-130
|
Subject: | Asset pricing | Liquidity | Liquidity risk premium | Quantile regression | Threshold portfolio sorting | Risikoprämie | Risk premium | Marktliquidität | Market liquidity | CAPM | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Liquidität | Börsenkurs | Share price | Schätzung | Estimation |
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