Asset Pricing with Liquidity Risk
收藏NBER2004-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w10814
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资源简介：
This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security's required return depends on its expected liquidity as well as on the
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美国国家经济研究局创建时间：
2004-10-01
