Is Liquidity Risk Priced? Theory and Evidence
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the liquidity premium we utilize is defined as a function of a time discount factor, a relative risk aversion parameter, and the expected return and volatility of the asset, given the risk-free rate. Usi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-05-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2071-1050/10/6/1809 |