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Liquidity Risk in Financial Markets

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  • Driessen, Joost

    (Tilburg University, School of Economics and Management)

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  • Driessen, Joost, 2010. "Liquidity Risk in Financial Markets," Other publications TiSEM d03ff62e-ec3c-43ba-879c-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:d03ff62e-ec3c-43ba-879c-f87bf19906a6
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    References listed on IDEAS

    as
    1. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
    2. Bank for International Settlements, 1999. "A Review of Financial Market Events in Autumn 1998," CGFS Papers, Bank for International Settlements, number 12, december.
    3. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    4. Francis A. Longstaff, 2004. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," The Journal of Business, University of Chicago Press, vol. 77(3), pages 511-526, July.
    5. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    Full references (including those not matched with items on IDEAS)

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