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Liquidity shocks and equilibrium liquidity premia

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  • Huang, Ming
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    Article provided by Elsevier in its journal Journal of Economic Theory.

    Volume (Year): 109 (2003)
    Issue (Month): 1 (March)
    Pages: 104-129
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    Handle: RePEc:eee:jetheo:v:109:y:2003:i:1:p:104-129

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    Web page: http://www.elsevier.com/locate/inca/622869

    For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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    Cited by:
    1. Hua, Cheng, . "Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/4074, Université Paris-Dauphine.
    2. Randi Næs & Bernt Arne Ødegaard, 2008. "Liquidity and asset pricing: Evidence on the role of investor holding period," Working Paper 2007/11, Norges Bank.
    3. Pierre-Olivier Weill, 2004. "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 648, Econometric Society.
    4. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," FMG Discussion Papers dp639, Financial Markets Group.
    5. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
    6. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    7. Thomas Davidoff & Jeffrey Brown & Peter Diamond, 2003. "Annuities And Individual Welfare," Working Papers, Center for Retirement Research at Boston College 2003-11, Center for Retirement Research.
    8. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
    9. repec:cdl:anderf:19657 is not listed on IDEAS
    10. Francis A. Longstaff, 2004. "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers 10411, National Bureau of Economic Research, Inc.
    11. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc.
    12. Ewerhart, C. & Valla, N., 2007. "Forced Portfolio Liquidation," Working papers 179, Banque de France.
    13. Filippo Taddei, 2007. "Liquidity and the Allocation of Credit: Business Cycle, Government Debt and Financial Arrangements," Carlo Alberto Notebooks 65, Collegio Carlo Alberto.
    14. Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management qt2458g38x, Anderson Graduate School of Management, UCLA.
    15. David German, 2009. "Hedging in an equilibrium-based model for a large investor," Quantitative Finance Papers 0910.3258, arXiv.org.

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