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Stock and Bond Pricing with Liquidity Risk · Study

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PreprintStock and Bond Pricing with Liquidity Risk

Ruslan Y. Goyenko2005

OA

Preprintgreen2005

Stock and Bond Pricing with Liquidity Risk

Ruslan Y. Goyenko

26 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Discretion versus policy rules in practice 1977An equilibrium characterization of the term structure 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1989Business conditions and expected returns on stocks and bonds

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2010Liquidity Risk of Corporate Bond Returns: A Conditional Approach

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Market Liquidity—Theory and Empirical Evidencechapter · 23 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 23 shared references 2012Illiquidity Premia in the Equity Options Marketpreprint · 22 shared references 2007Stock and Bond Market Liquidity: A Long-Run Empirical Analysisarticle · 21 shared references 2017Illiquidity Premia in the Equity Options Marketarticle · 19 shared references 2014The Empirical Analysis of Liquidityarticle · 19 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.669921

openalex_workW1537933053

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