In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure...

In this paper, we propose a liquidity risk adjustment to the Epstein and Zin (1989, 1991) model and assess the adjusted model's performance against the traditional consumption pricing models. We show that liquidity is a significant risk factor and it adds considerable explanatory power to the...

This study examines whether analysts' decisions to issue cash flows forecasts depend endogenously on their decision to use these forecasts to set target prices. An endogenous switching regression model, with analyst report regimes of disclosure and non-disclosure of cash flow forecasts, shows...

We develop a comprehensive measure of the quality of corporate financial communication. Net bad flows (NBF) captures bad news withholding and is calculable for all listed companies using daily stock return data. NBF indicates the relative lumpiness of bad news flows during the fiscal period. We...