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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
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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
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Closing call auctions at the index futures market
Hagströmer, Björn; Nordén, Lars - In: The journal of futures markets 34 (2014) 4, pp. 299-319
Persistent link: https://www.econbiz.de/10010355429
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Dynamics in systematic liquidity
Hagströmer, Björn (contributor) - 2009
Persistent link: https://www.econbiz.de/10003843271
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The components of the illiquidity premium : an empirical analysis of U.S. stocks 1927-2010
Hagströmer, Björn; Hansson, Björn A.; Nilsson, Birger - 2011
Persistent link: https://www.econbiz.de/10009273444
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Dynamics in systematic liquidity
Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2009
Persistent link: https://www.econbiz.de/10003844567
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CEO age, risk incentives, and hedging strategy
Croci, Ettore; Del Giudice, Alfonso; Jankensgård, Håkan - In: Financial management 46 (2017) 3, pp. 687-716
Persistent link: https://www.econbiz.de/10011751775