This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...

Dual class shares have been in existence in financial markets for more than one hundred years. One class of shares provides superior voting power, while the other class provides preferential access to economic benefits. Extant literature suggests that superior voting class shares should trade at...

This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey...

This paper gathers together for the first time the longest available historical monthly return series for the Finnish equity, bond, and money markets as well as inflation. The series are investigated in order to analyze the statistical characteristics of the returns investors would have received...

This paper tests the positivity and counter-cyclicality of the reward to market risk (risk aversion). Earlier empirical support has been at best inconclusive. We apply the reverse testing approach of Antell and Vaihekoski (2019) to the conditional ICAPM. Using various GARCH models for the...