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dc.contributor.authorAcharya, Viral V.-
dc.contributor.authorPedersenz, Lasse Heje-
dc.date.accessioned2008-05-30T16:53:01Z-
dc.date.available2008-05-30T16:53:01Z-
dc.date.issued2003-07-17-
dc.identifier.urihttp://hdl.handle.net/2451/27289-
dc.description.abstractThis paper studies equilibrium asset pricing with liquidity risk | the risk arising from unpredictable changes in liquidity over time. It is shown that a security’s required return depends on its expected illiquidity and on the covariances of its own return and illiquidity with market return and market illiquidity. This gives rise to a liquidity- adjusted capital asset pricing model. Further, if a security’s liquidity is persistent, a shock to its illiquidity results in low contemporaneous returns and high predicted future returns. Empirical evidence based on cross-sectional tests is consistent with liquidity risk being priced.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-03-044en
dc.titleAsset Pricing with Liquidity Risken
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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