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Pricing Liquidity Risk with Heterogeneous Investment Horizons · Study

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PreprintPricing Liquidity Risk with Heterogeneous Investment Horizons

Alessandro Beber2011

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Preprintgreen2011

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Alessandro Beber · Joost Driessen · Patrick Tuijp

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

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Financial Markets and Investment Strategies Corporate Finance and Governance Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 2002Illiquidity and stock returns: cross-section and time-series effects 1971Optimum consumption and portfolio rules in a continuous-time model 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1998The Influence of Institutional Investors on Myopic R&D Investment Behavior 2005Asset pricing with liquidity risk 1992On the Estimation of Beta-Pricing Models

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2012Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns

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2020Pricing Liquidity Risk with Heterogeneous Investment Horizonsarticle · 31 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 14 shared references 2011Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratioarticle · 12 shared references 2017An Asset Pricing Approach to Liquidity Effects in Corporate Bond Marketsarticle · 12 shared references 2012Illiquidity Premia in the Equity Options Marketpreprint · 11 shared references 2009Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiumspreprint · 11 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1964709

openalex_workW2167997757

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