Papavassiliou, Vassilios G. - In: Journal of International Financial Markets, … 24 (2013) C, pp. 184-197
This paper proposes a new non-parametric method for estimating model-free, time-varying liquidity betas which builds on realized covariance and volatility theory. Working under a liquidity-adjusted CAPM framework we provide evidence that liquidity risk is a factor priced in the Greek stock...