Sethy, Tapas Kumar; Tripathy, Nalini Prava - In: China Accounting and Finance Review 26 (2024) 2, pp. 253-275
Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …