marketplace such as a supermarket or a stock exchange with adequate liquidity. Further, people must have confidence that such a … well-functioning marketplace will also exist in the future. Market liquidity risk is the risk that the market will function … effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises …

This paper studies equilibrium asset pricing with liquidity risk - the risk arising from unpredictable changes in … liquidity over time. It is shown that a security's required return depends on its expected illiquidity and on the covariances of … its own return and illiquidity with market return and market illiquidity. This gives rise to a liquidity-adjusted capital …

This paper solves explicitly an equilibrium asset pricing model with liquidity risk - the risk arising from … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security's required return … depends on its expected liquidity, as well as on the covariances of its own return and liquidity with market return and market …

This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security's required return … depends on its expected liquidity as well as on the covariances of its own return and liquidity with market return and market …