Market pricing of liquidity risk: evidence from China
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DOI: 10.1108/cfri-01-2019-0013
Abstract: Purpose The purpose of this paper is to investigate whether liquidity risk (i.e. the returns’ vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the… read more here.
Keywords: liquidity; risk; market pricing; liquidity risk ... See more keywords