Consumption CAPM, Liquidity Risks and REIT Returns
碩士 === 國立臺灣大學 === 土木工程學研究所 === 94 === This study develops an asset pricing model with consumption and liquidity risks, where agents decide how to allocate their wealth in investments and consumptions. The presence of liquidity risk gives rise to the liquidity costs that changes the expected return o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/06665232929556990029 |