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 … main interest is to find out whether liquidity is priced as a systematic source of risk or as an asset …). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The …