Minović, Jelena Z.; Živković, Boško R. - In: Economic Annals 55 (2010) 185, pp. 33-62
This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005). We use daily data for the period from...
