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Stock and Bond Pricing with Liquidity Risk
16 references·1 citing·32 second hop
Stock and Bond Pricing with Liquidity Risk (2005)Stock and Bond Pricing with Liquidity RiskLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Commonality in liquidity (2000)Commonality in liquidityOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Discretion versus policy rules in practice (1993)Discretion versus policy rule…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock return variances (1986)Stock return variancesAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Liquidity Risk of Corporate Bond Returns: A Conditional Approach (2010)Liquidity Risk of Corporate B…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Discretion versus policy rules in practice9,059 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1986Stock return variances1,813 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Commonality in liquidity1,748 cited

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  • 2010Liquidity Risk of Corporate Bond Returns: A Conditional Approach25 cited