Lee, Kuan-Hui - Charles A. Dice Center for Research in Financial … - 2005
survey the
previous literature related to liquidity in international flnancial markets. In section 3, we review
the liquidity …
flnancial markets. In the next section, we will review the liquidity-adjusted capital asset pricing
model proposed by Acharya … market risk. Each beta has an associated economic interpretation:
† fl1;Di is similar to traditional market beta of CAPM …