scholarly journals Asset Pricing with Liquidity Risk

2003 ◽  
Author(s):  
Viral V. Acharya ◽  
Lasse Heje Pedersen
Keyword(s):  
Asset Pricing ◽  
Liquidity Risk

Liquidity Risk And Asset Pricing :, Evidence From Amman Stock Exchange

2017 ◽  
pp. 129
Author(s):  
محمد أحمد بني هاني ◽  
منى ممدوح المولا
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Amman Stock Exchange

scholarly journals Further tests of asset pricing models: Liquidity risk matters

2021 ◽  
Vol 95 ◽  
pp. 255-273
Author(s):  
Xiuli Ma ◽  
Xindong Zhang ◽  
Weimin Liu
Keyword(s):  
Asset Pricing ◽  
Liquidity Risk ◽  
Pricing Models ◽  
Asset Pricing Models

Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data

2019 ◽  
Vol 8 (1-2) ◽  
pp. 73-110 ◽  
Author(s):  
Eiichiro Kazumori ◽  
Fei Fang ◽  
Raj Sharman ◽  
Fumiko Takeda ◽  
Hong Yu
Keyword(s):  
Asset Pricing ◽  
Liquidity Risk ◽  
Japanese Market ◽  
Market Data ◽  
Out Of Sample

scholarly journals Asset Pricing with Liquidity Risk

2012 ◽  
pp. 137-184 ◽  
Author(s):  
Yakov Amihud ◽  
Haim Mendelson ◽  
Lasse Heje Pedersen
Keyword(s):  
Asset Pricing ◽  
Liquidity Risk

Liquidity risk premium and asset pricing in US water transportation

2013 ◽  
Vol 52 ◽  
pp. 3-15 ◽  
Author(s):  
Photis M. Panayides ◽  
Neophytos Lambertides ◽  
Kevin Cullinane
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Water Transportation

scholarly journals Closer View at the Stock Market Liquidity: A Literature Review

2015 ◽  
Vol 7 (2) ◽  
pp. 35 ◽  
Author(s):  
Gaurav Kumar ◽  
Arun Kumar Misra
Keyword(s):  
Asset Pricing ◽  
Capital Structure ◽  
Corporate Finance ◽  
Liquidity Risk ◽  
Firm Valuation ◽  
Market Liquidity ◽  
Stock Exchanges ◽  
Huge Amount ◽  
Listed Firms ◽  
The Impact

<p>Liquidity is said to be the lifeblood of stock markets. It has prominent implications for traders, regulators, stock exchanges and the listed firms. In recent years a huge amount of literature has emerged that deals with liquidity. This article classifies and organises the literature and provides a critical review of the frameworks currently available for modelling liquidity and its macroeconomic and firm specific drivers. Commonality and intraday behaviour of liquidity in various markets is discussed under the umbrella of market microstructures.  Subsequently, liquidity risk as a factor in Asset pricing is analysed taking various models in to consideration. Finally, the study reviewed the impact of liquidity on corporate finance decisions viz. dividends, firm valuation, stock split, capital structure etc.</p>

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