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This paper derives an equilibrium asset pricing model with liquidity risk. Liquidity risk is modeled as a stochastic …, which enables the derivation of the risk-return relation for the stock's expected return including liquidity risk. In … contrast to the traditional models without liquidity risk, there is an additional systematic liquidity risk factor which is …
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We use real estate investment trusts to examine how asset liquidation values influence a firm's financing choices, since the productivity and quality of each asset is observable and potential measures of an asset's liquidation value are easier to ascertain ex-ante. We show that compared to firms...
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optimization, as well as liquidity risk, is crucial, as explained in the chapter “Theoretical and practical foundations of … liquidity-adjusted value-at-risk (LVaR): optimization algorithms for portfolio selection and management” of the recently …
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