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Treating cross-dependence in event studies : the Canadian income trust leak

Stewart, Kenneth G.; Zheng, L. - In: Applied financial economics 21 (2011) 4/6, pp. 369-377

Persistent link: https://www.econbiz.de/10009124545

Evidence for state and time nonseparable preferences : the case of Finland

Virk, Nader Shahzad - In: Applied financial economics 23 (2013) 22/24, pp. 1821-1838

Persistent link: https://www.econbiz.de/10010337260

Pricing of liquidity risk : empirical evidence from Finland

Vaihekoski, Mika - In: Applied financial economics 19 (2009) 19/21, pp. 1547-1557

This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...

Persistent link: https://www.econbiz.de/10003904294

Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don U. A. - In: Applied financial economics 20 (2010) 4/6, pp. 381-395

The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...

Persistent link: https://www.econbiz.de/10003963264