Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets
Approved for public release; distribution is unlimited. === William Sharpe's 1964 capital asset pricing model relies heavily on an accurate assessment of the asset's sensitivity to the broader market, termed _. By modifying the classic approach to incorporate liquidity of the asset, design...
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Monterey, California: Naval Postgraduate School
2014
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| Online Access: | http://hdl.handle.net/10945/41419 |