Acharya, Viral V. (contributor); … - 2003 - [Elektronische Ressource]
explicitly a liquidity-adjusted capital asset pricing model (CAPM) wherein
there are price efiects associated with the risk of … changes in the liquidity of
an individual security as well as in market liquidity.
In the liquidity-adjusted CAPM, the … 1963{1999. Monthly cross-sectional tests
of the liquidity-adjusted CAPM demonstrate that it cannot be rejected at …