Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform …

assesses the impact of listing of ADRs/GDRs on the liquidity of the firm's underlying domestic shares by using a sample of 30 … cases reduce the liquidity of the domestic underlying shares, GDR listings in most cases increase the liquidity of the …

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on … expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which … is previously tested on developed markets. Systematic liquidity risk is found to be significant in impacting asset …