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Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market

  • Martinez, Miguel A.
  • Nieto, Belen
  • Rubio, Gonzalo
  • Tapia, Mikel
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    No abstract is available for this item.

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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4BYWSKP-2/2/7c56346513d94e1b2f6b52986c910912
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 14 (2005)
    Issue (Month): 1 ()
    Pages: 81-103

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    Handle: RePEc:eee:reveco:v:14:y:2005:i:1:p:81-103
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. Gonzalo Rubio & Mikel Tapia, 1998. "The liquidity premium in equity pricing under a continuous auction system," The European Journal of Finance, Taylor & Francis Journals, vol. 4(1), pages 1-28.
    2. Rubio, Gonzalo, 1988. "Further international evidence on asset pricing : The case of the Spanish capital market," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 221-242, June.
    3. Pástor, Luboš & Stambaugh, Robert F., 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
    4. Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
    5. Rubio, Gonzalo, 1995. " Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs," Review of Quantitative Finance and Accounting, Springer, vol. 5(2), pages 127-53, June.
    6. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
    7. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    8. Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
    9. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
    10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    11. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
    12. Eleswarapu, Venkat R. & Reinganum, Marc R., 1993. "The seasonal behavior of the liquidity premium in asset pricing," Journal of Financial Economics, Elsevier, vol. 34(3), pages 373-386, December.
    13. Carlos Forner & Joaquín Marhuenda, 2003. "Contrarian and Momentum Strategies in the Spanish Stock Market," European Financial Management, European Financial Management Association, vol. 9(1), pages 67-88.
    14. Gonzalo Rubio & Mikel Tapia, 1996. "Adverse selection, volume and transactions around dividend announcements in a continuous auction system," European Financial Management, European Financial Management Association, vol. 2(1), pages 39-67.
    15. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    16. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    17. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
    18. Sydney Ludvigson & Martin Lettau, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
    19. Olivier Renault & Jan Ericsson, 2000. "Liquidity and Credit Risk," FMG Discussion Papers dp362, Financial Markets Group.
    20. 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.
    21. Bengt Holmström, 2001. "LAPM: A Liquidity-Based Asset Pricing Model," Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
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