The pricing of systematic liquidity risk : empirical evidence from the US stock market
Year of publication: |
2004
|
---|---|
Authors: | Gibson, Rajna ; Mougeot, Nicolas |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 28.2004, 1, p. 157-178
|
Subject: | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | USA | United States | 1973-1997 |
-
Tampakoudis, Ioannis A., (2012)
-
Asymmetric risk premium in value and growth stocks
Black, Angela J., (2006)
-
The asymmetric reverting property of stock returns
Nam, Kiseok, (2003)
- More ...
-
The pricing of systematic liquidity risk: Empirical evidence from the US stock market
Gibson, Rajna, (2004)
-
The pricing of systematic liquidity risk: Empirical evidence from the US stock market
Gibson, Rajna, (2004)
-
Credit Spread Specification and the Pricing of Spread Options
Mougeot, Nicolas, (2000)
- More ...