Zobrazeno 1 - 5
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pro vyhledávání: '"Tuijp, Patrick"'
Publikováno v:
Journal of Financial & Quantitative Analysis; Mar2021, Vol. 56 Issue 2, p373-408, 36p
We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations betwe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::11b267599f8fcc69e2ad0c47199cfb9b
https://hdl.handle.net/10419/237795
https://hdl.handle.net/10419/237795
Akademický článek
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Autor:
Tuijp, Patrick
This dissertation studies the pricing of liquidity and illiquid assets. For this thesis, liquidity will generally refer to the ease with which an asset can be traded. The first chapter investigates the role of the investment horizon in the impact of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::b99dc0c71946f7c80533a0f610ea3436
https://research.tilburguniversity.edu/en/publications/cc548ebe-e34d-44c7-ac7c-a1fa214193f2
https://research.tilburguniversity.edu/en/publications/cc548ebe-e34d-44c7-ac7c-a1fa214193f2
Publikováno v:
SSRN Electronic Journal.
We develop a liquidity-based asset pricing model featuring investors with heterogeneous investment horizons and stochastic transaction costs. In an equilibrium where all investors invest in all assets (integration), we find that the existence of inve
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1eee0e0184fe14850bf76c7ba1ea432c
https://doi.org/10.2139/ssrn.2065907
https://doi.org/10.2139/ssrn.2065907