Advanced Search
MyIDEAS: Login

Citations for "LAPM: A Liquidity-based Asset Pricing Model"

by Bengt Holmstrom & Jean Tirole

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Luboš Pástor & Robert F. Stambaugh, . "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  2. Risto Herrala, 2004. "The rigidity bias," Finance 0404019, EconWPA.
  3. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
  4. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc.
  5. Stephen Morris & Hyun Song Shin, 2004. "Liquidity Black Holes," Review of Finance, Springer, vol. 8(1), pages 1-18.
  6. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI).
  7. Saunders, Drew, 2006. "The Elastic Provision of Liquidity by Private Agents," Purdue University Economics Working Papers 1195, Purdue University, Department of Economics.
  8. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
  9. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
  10. Anil K. Kashyap & Raghuram Rajan & Jeremy C. Stein, 2002. "Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking," Journal of Finance, American Finance Association, vol. 57(1), pages 33-73, 02.
  11. Eduardo Siandra, 2002. "The Economics of financial Matching," Documentos de Trabajo (working papers) 1002, Department of Economics - dECON.
  12. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA.
  13. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Nieto, Belén, 2003. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  14. Francis A. Longstaff, 2002. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," NBER Working Papers 9312, National Bureau of Economic Research, Inc.
  15. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
  16. Miquel Faig & Pauline Shum, 2000. "Portfolio Choice in the Presence of Personal Illiquid Projects," Working Papers faig-00-03, University of Toronto, Department of Economics.
  17. Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, 02.