Asset pricing with liquidity risk

Journal of Financial Economics

Volumn 77, Issue 2, 2005, Pages 375-410

  Acharya, Viral V ^a,b   Pedersen, Lasse Heje ^b,c,d  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b CEPR   (United Kingdom)

^c NEW YORK UNIVERSITY   (United States)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Flight to liquidity; Frictions; Liquidity risk; Liquidity adjusted CAPM; Transaction costs

Indexed keywords

EID: 22144449932     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2004.06.007     Document Type: Article

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