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On the existence of moments : with an application to German stock returns

Runde, Ralf; Scheffner, Axel - 1998

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Three essays in finance

Peng, Liang - 2002

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The modified mixture of distributions model : a revisit

Fong, Wai-mun; Wong, Wing Keung - In: Annals of finance 2 (2006) 2, pp. 167-178

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Corporate investment and asset price dynamics : implications for SEO event studies and long-run performance

Carlson, Murray; Fisher, Adlai; Giammarino, Ronald P. M. - In: The journal of finance : the journal of the American … 61 (2006) 3, pp. 1009-1034

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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