Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Acharya, Viral V. | - |
dc.contributor.author | Pedersenz, Lasse Heje | - |
dc.date.accessioned | 2008-05-30T16:53:01Z | - |
dc.date.available | 2008-05-30T16:53:01Z | - |
dc.date.issued | 2003-07-17 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27289 | - |
dc.description.abstract | This 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.iso | en_US | en |
dc.relation.ispartofseries | FIN-03-044 | en |
dc.title | Asset Pricing with Liquidity Risk | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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wpa03044.pdf | 416.3 kB | Adobe PDF | View/Open |
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