Liquidity Discovery and Asset Pricing
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Other versions of this item:
- Duane Seppi & Michael Gallmeyer & Burton Hollifield, 2004. "Liquidity Discovery and Asset Pricing," Econometric Society 2004 North American Summer Meetings 525, Econometric Society.
- Burton Hollifield & Michael Gallmeyer & Duane Seppi, 2004. "Liquidity Discovery and Asset Pricing," 2004 Meeting Papers 136a, Society for Economic Dynamics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig, 2010.
"How Does Liquidity Affect Government Bond Yields?,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 45(01), pages 107-134, February.
- Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007. "How Does Liquidity Affect Government Bond Yields?," Working Papers 323, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Pagano, Marco & von Thadden, Ernst-Ludwig, 2008. "How Does Liquidity Affect Government Bond Yields?," CEPR Discussion Papers 6649, C.E.P.R. Discussion Papers.
- Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007. "How Does Liquidity Affect Government Bond Yields?," CSEF Working Papers 181, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, University Library of Munich, Germany.
- Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
More about this item
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-12 (All new papers)
- NEP-FIN-2004-12-12 (Finance)
- NEP-FIN-2004-12-15 (Finance)
- NEP-FMK-2004-12-12 (Financial Markets)
- NEP-RMG-2004-12-12 (Risk Management)
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