Asset pricing with liquidity risk

• 1 August 2005
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 77  (2) , 375-410
• https://doi.org/10.1016/j.jfineco.2004.06.007

Abstract

Keywords

• G12
• LIQUIDITY RISK
• LIQUIDITY-ADJUSTED CAPM
• FLIGHT TO LIQUIDITY
• FRICTIONS
• TRANSACTION COSTS