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1-3 of 3
Keywords: Liquidity risk
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Journal Articles
Do the LCAPM Predictions Hold? Replication and Extension Evidence
Available to Purchase
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 29–71.
Published: 17 December 2019
... predictions of the Lee two-beta LCAPM and of the four-beta LCAPM hold at the same time. Overall, we fail to support that liquidity risk matters in the specific functional form predicted by the LCAPM. However, we are silent on the more general question of whether liquidity risk matters in some different...
Includes: Supplementary data
Journal Articles
Economics with Market Liquidity Risk
Available to Purchase
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 111–125.
Published: 17 December 2019
... marketplace will also exist in the future. Market liquidity risk is the risk that the market will function poorly in the future, handcuffing the “invisible hand” through which markets produce allocative efficiency. We discuss the effects of market liquidity risk on asset pricing, investment management...
Journal Articles
Liquidity Risk After 20 Years
Available to Purchase
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 277–299.
Published: 17 December 2019
... of the liquidity risk premium. In the sample period after our study, the liquidity risk premium estimates are even larger, and the liquidity measure displays sharp drops during the 2008 financial crisis. We respond to both replication studies and offer some related thoughts, such as when to use our traded versus...
