Stock liquidity premium with stochastic price impact and exogenous trading strategy
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DOI: 10.1016/j.irfa.2019.04.008
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More about this item
Keywords
Liquidity premium; Temporary price impact; Permanent price impact; Stochastic liquidity;All these keywords.
JEL classification:
- D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
- 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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