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The pricing of liquidity risk on the Shanghai stock market

Ho, Tsung-wu; Chang, Shu-Hwa - In: International review of economics & finance : IREF 38 (2015), pp. 112-130

Persistent link: https://www.econbiz.de/10011572341

Is liquidity risk priced in cryptocurrency markets?

Han, SeungOh - In: Applied economics letters 30 (2023) 17, pp. 2481-2487

Persistent link: https://www.econbiz.de/10014365989

Is liquidity risk priced in partially segmented markets?

Chaieb, Ines; Errunza, Vihang R.; Langlois, Hugues - 2018

Persistent link: https://www.econbiz.de/10012109789

Asset pricing with downside liquidity risks

Anthonisz, Sean A.; Putniņš, Tālis J. - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2549-2572

Persistent link: https://www.econbiz.de/10011741402

Is liquidity risk priced in partially segmented markets?

Chaieb, Ines; Errunza, Vihang R.; Langlois, Hugues - 2018

Persistent link: https://www.econbiz.de/10011876101

Stock returns with consumption and illiquidity risks

Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74

Persistent link: https://www.econbiz.de/10010431504

Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?

Virk, Nader - 2020

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

Persistent link: https://www.econbiz.de/10012847658

Illiquidity Premium, Transaction Costs, and Risks of Illiquid Assets

Meng, Ben - 2015

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …

Persistent link: https://www.econbiz.de/10013026578

Asset liquidity, business risk, and beta

Nejadmalayeri, Ali - In: Global finance journal 48 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012886920

Liquidity and asset prices : an empirical investigation of the nordic stock markets

Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705

Persistent link: https://www.econbiz.de/10011408519