Liquidity-adjusted conditional capital asset pricing model
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DOI: 10.1016/j.econmod.2011.11.007
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Cited by:
- Czauderna, Katrin & Riedel, Christoph & Wagner, Niklas, 2015. "Liquidity and conditional market returns: Evidence from German exchange traded funds," Economic Modelling, Elsevier, vol. 51(C), pages 454-459.
More about this item
Keywords
CAPM; Liquidity; Liquidity risk; Conditional coskewness;JEL classification:
- G0 - Financial Economics - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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