Portfolio choice and the effects of liquidity
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Volume (Year): 2 (2011)
Issue (Month): 1 (March)
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- Acharya, Viral V & Pedersen, Lasse Heje, 2003.
"Asset Pricing with Liquidity Risk,"
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3494, C.E.P.R. Discussion Papers.
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- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005.
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24768, University Library of Munich, Germany.
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- Akiko Watanabe & Masahiro Watanabe, 2008. "Time-Varying Liquidity Risk and the Cross Section of Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2449-2486, November.
- Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
- Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February.
- Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
- Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Leon, Angel & Nave, Juan M. & Rubio, Gonzalo, 2007. "The relationship between risk and expected return in Europe," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 495-512, February.
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