Stahel, Christof W. (contributor) - 2003 - [Elektronische Ressource]
World CAPM, which uses
the world portfolio return, and the innovation in global liquidity as the only two factors; a … index, which accounts for exchange rate risk, and the
innovation in liquidity; and the standard International CAPM augmented … factor portfolios, and ULt the innovation
in liquidity. I investigate whether liquidity risk is a priced state variable in …