This paper presents a simplified single period asset-pricing model that adjusts for illiquidity and tests for the Finnish stock market. The empirical testing for a small yet developed market is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets vastly...

The study provides a comprehensive review on the equity premium puzzle for Finnish stock market. The analysis indicates large risk aversion values for Finnish representative agent to justify the observed equity premium. The negative consumption growth implies a premium for lending in the...

Our work focuses on evaluation of anomaly and factor risk premia in the global Oil and Gas (OG) sector – accounting approximately 10% of global GDP and fundamental to global growth cycle. We aim to determine whether valuations are reward for bearing systematic risks or exposed to mispricing....

The evaluation for the specification errors of asset pricing models is conducted using size-BM, size-MOM and industry portfolios (21) for Finnish stock market. The Finnish market is taken as a test case for equity markets where few firms dominate the total market capitalization. We report...

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate liquidity risk or betting on it. A three-factor model capturing...