A liquidity-augmented capital asset pricing model

Journal of Financial Economics

Volumn 82, Issue 3, 2006, Pages 631-671

  Liu, Weimin ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Liquidity factor; Liquidity premium; Trading speed

Indexed keywords

EID: 33751007244     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.10.001     Document Type: Article

References (43)

1. Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 (2002) 31-56
2. Amihud Y., and Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (1986) 223-249
3. Arbel A., and Strebel P. The neglected and small firm effects. Financial Review 17 (1982) 201-218
4. Bekaert, G., Harvey, C., Lundblad, C., 2003. Liquidity and expected returns: lessons from emerging markets. Unpublished working paper, Duke University.
5. Blume M., and Stambaugh R. Biases in computed returns: an application to the size effect. Journal of Financial Economics 12 (1983) 387-404
6. Breeden D. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7 (1979) 265-296
7. Breeden D., Gibbons M., and Litzenberger R. Empirical tests of the consumption-oriented CAPM. Journal of Finance 44 (1989) 231-262
8. Brennan M., Chordia T., and Subrahmanyam A. Alternative factor specification, security characteristics, and the cross-section of expected stock return. Journal of Financial Economics 49 (1998) 345-373
9. Brennan M., and Subrahmanyam A. Market microstructure and asset pricing. Journal of Financial Economics 41 (1996) 441-464
10. Campbell J., Grossman S., and Wang J. Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108 (1993) 905-939
11. Carhart M. On persistence in mutual fund performance. Journal of Finance 52 (1997) 57-82
12. Chen N., Roll R., and Ross S. Economic forces and the stock market. Journal of Business 59 (1986) 383-403
13. Chordia T., Sarkar A., and Subrahmanyam A. An empirical analysis of stock and bond market liquidity. Review of Financial Studies 18 (2005) 85-129
14. Cohen K., Hawawini G., Maier S., Schwartz R., and Whitcomb D. Friction in the trading process and the estimation of systematic risk. Journal of Financial Economics 12 (1983) 263-278
15. Cox J., Ingersoll Jr. J., and Ross S. A theory of the term structure of interest rates. Econometrica 53 (1985) 385-408
16. Daniel K., and Titman S. Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52 (1997) 1-33
17. Datar V., Naik N., and Radcliffe R. Liqudity and asset returns: an alternative test. Journal of Financial Markets 1 (1998) 203-220
18. DeBondt W., and Thaler R. Does the stock market overreact?. Journal of Finance 40 (1985) 793-805
19. Easley, D., Hvidkjaer, S., O'Hara, M., 2004. Factoring information into returns. Unpublished working paper, Cornell University.
20. Easley D., Kiefer N., O'Hara M., and Paperman J. Liquidity, information, and infrequently traded stocks. Journal of Finance 51 (1996) 1405-1436
21. Eisfeldt, A., 2002. Endogenous liquidity in asset markets. Unpublished working paper, Northwestern University.
22. Eleswarapu V., and Reinganum M. The seasonal behavior of the liquidity risk premium in asset pricing. Journal of Financial Economics 34 (1993) 373-386
23. Fama E. Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis 31 (1996) 441-465
24. Fama E., and French K. Dividend yields and expected stock returns. Journal of Financial Economics 22 (1988) 3-25
25. Fama E., and French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
26. Fama E., and French K. Multifactor explanations of asset pricing anomalies. Journal of Finance 51 (1996) 55-84
27. Gallmeyer, M., Hollifield, B., Seppi, D., 2004. Liquidity discovery and asset pricing. Unpublished working paper, Carnegie Mellon University.
28. Gervais S., Kaniel R., and Mingelgrin D. The high-volume return premium. Journal of Finance 56 (2001) 877-919
29. Hicks J. Critical Essays in Monetary Theory (1967), Oxford University Press, Oxford
30. Holmstrom B., and Tirole J. LAPM: a liquidity-based asset pricing model. Journal of Finance 56 (2001) 1837-1867
31. Hou K., and Moskowitz T. Market frictions, price delay, and the cross-section of expected returns. Review of Financial Studies 18 (2005) 981-1020
32. Jegadeesh N., and Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
33. Lee C. Market fragmentation and price-execution in NYSE-listed securities. Journal of Finance 48 (1993) 1009-1038
34. Lee C., and Swaminathan B. Price momentum and trading volume. Journal of Finance 55 (2000) 2017-2069
35. Lesmond D., Ogden J., and Trzcinka C. A new estimate of transaction costs. Review of Financial Studies 12 (1999) 1113-1141
36. Liu, W., Strong, N., 2006. Biases in decomposing holding period portfolio returns. Review of Financial Studies, forthcoming.
37. Lustig, H., 2001. The market price of aggregate risk and the wealth distribution. Unpublished working paper, University of Chicago (NBER).
38. Merton R. An intertemporal capital asset pricing model. Econometrica 41 (1973) 867-887
39. Merton R. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42 (1987) 483-510
40. O'Hara M. Presidential address: liquidity and price discovery. Journal of Finance 58 (2003) 1335-1354
41. Pastor L., and Stambaugh R. Liquidity risk and expected stock returns. Journal of Political Economy 111 (2003) 642-685
42. Pereira, J., Zhang, H., 2004. The liquidity premium in a portfolio choice model with price impact. Unpublished working paper, University of North Carolina.
43. Ross S. The arbitrage pricing theory of capital asset pricing. Journal of Economic Theory 13 (1976) 341-360