Search Results - subject:"conditional LCAPM"

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The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010

Hagströmer, Björn; Nilsson, Birger; Hansson, Björn - 2011

This paper estimates a conditional version of the liquidity adjusted CAPM by Acharya and Pedersen (2005) using NYSE and AMEX data from 1927 to 2010 to study the illiquidity premium and its variation over time. The components of the illiquidity premium is in this model derived as the level of...

Persistent link: https://www.econbiz.de/10013208584

Pricing, dynamics, and determinants of illiquidity risks : international evidence

Saad, Mohsen M.; Samet, Anis - In: Emerging markets review 23 (2015), pp. 124-147

Persistent link: https://www.econbiz.de/10011304170

The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010

Hagströmer, Björn; Hansson, Björn; Nilsson, Birger - In: Journal of Banking & Finance 37 (2013) 11, pp. 4476-4487

This paper implements a conditional version of the liquidity adjusted CAPM (LCAPM). The conditional LCAPM allows for a …

Persistent link: https://www.econbiz.de/10011065749

The components of the illiquidity premium : an empirical analysis of US stocks ; 1927 - 2010

Hagströmer, Björn; Hansson, Björn A.; Nilsson, Birger - In: Journal of banking & finance 37 (2013) 11, pp. 4476-4487

Persistent link: https://www.econbiz.de/10010246984

The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010

Hagströmer, Björn; Nilsson, Birger; Hansson, Björn - Nationalekonomiska Institutionen, Ekonomihögskolan - 2011

Persistent link: https://www.econbiz.de/10009293916