Zobrazeno 1 - 10
of 24
pro vyhledávání: '"liquidity adjusted capm"'
Publikováno v:
China Accounting and Finance Review, 2024, Vol. 26, Issue 2, pp. 253-275.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/CAFR-05-2023-0052
Publikováno v:
China Accounting and Finance Review, Vol 26, Iss 2, Pp 253-275 (2024)
This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the
Externí odkaz:
https://doaj.org/article/e06cddfe7a9d4a72b3799be06dd003aa
Autor:
Gaurav Kumar, Arun Kumar Misra
Publikováno v:
Cogent Economics & Finance, Vol 7, Iss 1 (2019)
This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is pre
Externí odkaz:
https://doaj.org/article/b0e8a929c5b24a6895a1bc6e00b07a6c
We conduct a meta-analysis on the Liquidity-adjusted CAPM of Acharya and Pedersen (2005). The pre-registration document provides our research plan.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::de8721b8f2d92e5c226303c192040fae
Autor:
Minović Jelena Z., Živković Boško R.
Publikováno v:
Ekonomski Anali, Vol 55, Iss 185, Pp 33-62 (2010)
This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005).
Externí odkaz:
https://doaj.org/article/c00c0b6c248e43e6ac7bd482a68d89a6
Autor:
Arun Kumar Misra, Gaurav Kumar
Publikováno v:
Cogent Economics & Finance, Vol 7, Iss 1 (2019)
This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is pre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a495129d8f0599ee6a192cda3f4c02c6
https://hdl.handle.net/10419/245200
https://hdl.handle.net/10419/245200
Publikováno v:
Economic Modelling
Economic Modelling, Elsevier, 2019, 80, pp.75-86. ⟨10.1016/j.econmod.2018.06.008⟩
Economic Modelling, 2019, 80, pp.75-86. ⟨10.1016/j.econmod.2018.06.008⟩
Economic Modelling, Elsevier, 2019, 80, pp.75-86. ⟨10.1016/j.econmod.2018.06.008⟩
Economic Modelling, 2019, 80, pp.75-86. ⟨10.1016/j.econmod.2018.06.008⟩
The aim of this paper is to test empirically the conditional liquidity-adjusted capital asset pricing model (L-CAPM) developed by Acharya and Pedersen (2005). Accordingly, we propose to estimate the L-CAPM using unobserved components methodology, whi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3a01b0518ee62bf2b4d6b869c1e0c1a3
https://halshs.archives-ouvertes.fr/halshs-01910218
https://halshs.archives-ouvertes.fr/halshs-01910218
Akademický článek
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Akademický článek
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Autor:
Jelena Minović, Boško Živković
Publikováno v:
Ekonomski Anali, Vol 55, Iss 185, Pp 33-62 (2010)
This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005).