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The Components of the Illiquidity Premium : An Empirical Analysis of U.S. Stocks 1927-2010

Hagströmer, Björn - 2013

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/10013092533

A comparative analysis of ability of mimicking portfolios in representing the background factors

Asgharian, Hossein (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001959544

A conditional asset-pricing model with the optimal orthogonal portfolio

Asgharian, Hossein - In: Journal of banking & finance 35 (2011) 5, pp. 1027-1040

Persistent link: https://www.econbiz.de/10009245258

The explanatory role of factor portfolios for industries exposed to foreign competition : evidence from the Swedish stock market

Asgharian, Hossein; Hansson, Björn A. - In: Journal of international financial markets, … 13 (2003) 4, pp. 325-353

Persistent link: https://www.econbiz.de/10001792903

A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models

Asgharian, Hossein; Hansson, Björn A. - In: Applied financial economics 15 (2005) 12, pp. 835-848

Persistent link: https://www.econbiz.de/10003070660

Book-to-market and size effects : compensations for risks or outcomes of market inefficiencies?

Asgharian, Hossein; Hansson, Björn A. - In: The European journal of finance 16 (2010) 1/2, pp. 119-136

Persistent link: https://www.econbiz.de/10003954436

Evaluating a nonlinear asset pricing model on international data

Asgharian, Hossein (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003283102

Evaluating a non-linear asset pricing model on international data

Asgharian, Hossein; Karlsson, Sonnie - In: International review of financial analysis 17 (2008) 3, pp. 604-621

Persistent link: https://www.econbiz.de/10003764509

Home bias among European investors from a Bayesian perspective

Asgharian, Hossein; Hansson, Björn A. - In: Journal of international financial markets, … 16 (2006) 5, pp. 397-410

Persistent link: https://www.econbiz.de/10003392552

Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach

Asgharian, Hossein; Hansson, Björn A. - In: Journal of empirical finance 12 (2005) 4, pp. 556-575

Persistent link: https://www.econbiz.de/10003144785