메뉴 건너뛰기




Volumn 30, Issue 3, 2007, Pages 379-398

Liquidity and asset pricing under the three-moment capm paradigm

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34547700448     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2007.00219.x     Document Type: Article
Times cited : (28)

References (27)
  • 2
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: Cross-section and time series effects
    • Amihud, Y., 2002, Illiquidity and stock returns: Cross-section and time series effects, Journal of Financial Markets 5, 31 56.
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 4
    • 0000069353 scopus 로고    scopus 로고
    • Alternative factor specifications, security characteristics and the cross-section of expected stock returns
    • and.
    • Brennan, M. J., T. Chordia, and A. Subrahmanyam, 1998, Alternative factor specifications, security characteristics and the cross-section of expected stock returns, Journal of Financial Economics 49, 345 73.
    • (1998) Journal of Financial Economics , vol.49 , pp. 345-73
    • Brennan, M.J.1    Chordia, T.2    Subrahmanyam, A.3
  • 5
    • 0030191751 scopus 로고    scopus 로고
    • Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    • and.
    • Brennan, M. J. and A. Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441 64.
    • (1996) Journal of Financial Economics , vol.41 , pp. 441-64
    • Brennan, M.J.1    Subrahmanyam, A.2
  • 6
    • 84885407601 scopus 로고    scopus 로고
    • Asset pricing and illiquidity premium
    • and.
    • Chan, H. and R. Faff, 2005, Asset pricing and illiquidity premium, Financial Review 40, 429 58.
    • (2005) Financial Review , vol.40 , pp. 429-58
    • Chan, H.1    Faff, R.2
  • 7
    • 0000218139 scopus 로고    scopus 로고
    • Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices
    • and.
    • Chen, J., H. Hong, and J. Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345 81.
    • (2001) Journal of Financial Economics , vol.61 , pp. 345-81
    • Chen, J.1    Hong, H.2    Stein, J.3
  • 8
    • 33644909070 scopus 로고    scopus 로고
    • Asset pricing when returns are nonnormal: Fama-French factors vs higher-order systematic co-moments
    • and.
    • Chung, Y. P., H. Johnson, and M. Schill, 2006, Asset pricing when returns are nonnormal: Fama-French factors vs higher-order systematic co-moments, Journal of Business 79, 923 40.
    • (2006) Journal of Business , vol.79 , pp. 923-40
    • Chung, Y.P.1    Johnson, H.2    Schill, M.3
  • 9
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the characteristics of cross-sectional variation in stock returns
    • and.
    • Daniel, K. and S. Titman, 1997, Evidence on the characteristics of cross-sectional variation in stock returns, Journal of Finance 52, 1 33.
    • (1997) Journal of Finance , vol.52 , pp. 1-33
    • Daniel, K.1    Titman, S.2
  • 11
    • 0011572323 scopus 로고
    • The seasonal behaviour of the liquidity premium in asset pricing
    • and.
    • Eleswarapu, V. R. and M. R. Reinganum, 1993, The seasonal behaviour of the liquidity premium in asset pricing, Journal of Financial Economics 34, 373 86.
    • (1993) Journal of Financial Economics , vol.34 , pp. 373-86
    • Eleswarapu, V.R.1    Reinganum, M.R.2
  • 12
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • and.
    • Fama, E. and K. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427 65.
    • (1992) Journal of Finance , vol.47 , pp. 427-65
    • Fama, E.1    French, K.2
  • 13
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • and.
    • Fama, E. and K. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3 56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.1    French, K.2
  • 14
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • and.
    • Fama, E. and K. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 30, 131 55.
    • (1995) Journal of Finance , vol.30 , pp. 131-55
    • Fama, E.1    French, K.2
  • 15
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • and.
    • Fama, E. and K. French, 1998, Value versus growth: The international evidence, Journal of Finance 53, 1975 99.
    • (1998) Journal of Finance , vol.53 , pp. 1975-99
    • Fama, E.1    French, K.2
  • 16
    • 0000928969 scopus 로고
    • Risk, return and equilibrium: Empirical tests
    • and.
    • Fama, E. and J. D. MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607 36.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-36
    • Fama, E.1    MacBeth, J.D.2
  • 17
    • 0001534103 scopus 로고
    • A test of the efficiency of a given portfolio
    • and.
    • Gibbons, M., S. Ross, and J. Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121 52.
    • (1989) Econometrica , vol.57 , pp. 1121-52
    • Gibbons, M.1    Ross, S.2    Shanken, J.3
  • 18
    • 0040186059 scopus 로고    scopus 로고
    • Conditional skewness in asset pricing tests
    • and.
    • Harvey, C. and A. Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance 55, 1263 95.
    • (2000) Journal of Finance , vol.55 , pp. 1263-95
    • Harvey, C.1    Siddique, A.2
  • 19
    • 0013466807 scopus 로고    scopus 로고
    • The capital asset pricing model and the liquidity effect: A theoretical approach
    • and.
    • Jacoby, G., D. J. Fowler, and A. A. Gottesman, 2000, The capital asset pricing model and the liquidity effect: A theoretical approach, Journal of Financial Markets 3, 69 81.
    • (2000) Journal of Financial Markets , vol.3 , pp. 69-81
    • Jacoby, G.1    Fowler, D.J.2    Gottesman, A.A.3
  • 20
    • 33846877432 scopus 로고    scopus 로고
    • The importance of liquidity as a factor in asset pricing
    • and.
    • Keene, M. and D. Peterson, 2007, The importance of liquidity as a factor in asset pricing, Journal of Financial Research 30, 91 109.
    • (2007) Journal of Financial Research , vol.30 , pp. 91-109
    • Keene, M.1    Peterson, D.2
  • 21
    • 84993913139 scopus 로고
    • The errors in variables problem in the cross-section of expected returns
    • Kim, D., 1995, The errors in variables problem in the cross-section of expected returns, Journal of Finance 50, 1605 34.
    • (1995) Journal of Finance , vol.50 , pp. 1605-34
    • Kim, D.1
  • 22
    • 84993888629 scopus 로고
    • Another look at the cross-section of expected stock returns
    • and.
    • Kothari, S. P., J. Shanken, and R. G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185 224.
    • (1995) Journal of Finance , vol.50 , pp. 185-224
    • Kothari, S.P.1    Shanken, J.2    Sloan, R.G.3
  • 23
    • 84944838305 scopus 로고
    • Skewness preference and the valuation of risk assets
    • and.
    • Kraus, A. and R. H. Litzenberger, 1976, Skewness preference and the valuation of risk assets, Journal of Finance 31, 1085 1100.
    • (1976) Journal of Finance , vol.31 , pp. 1085-1100
    • Kraus, A.1    Litzenberger, R.H.2
  • 24
    • 0000525598 scopus 로고
    • The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence
    • and.
    • Litzenberger, R. and K. Ramaswamy, 1979, The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence, Journal of Financial Economics, 163 96.
    • (1979) Journal of Financial Economics , pp. 163-96
    • Litzenberger, R.1    Ramaswamy, K.2
  • 26
    • 0345973492 scopus 로고
    • Posted versus effective spreads: Good prices or bad quotes?
    • and
    • Peterson, M. and D. Fialkowski, 1994, Posted versus effective spreads: Good prices or bad quotes? Journal of Financial Economics 35, 269 92.
    • (1994) Journal of Financial Economics , vol.35 , pp. 269-92
    • Peterson, M.1    Fialkowski, D.2
  • 27
    • 0001759482 scopus 로고
    • The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments
    • Samuelson, P., 1970, The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments, Review of Economic Studies 37, 537 43.
    • (1970) Review of Economic Studies , vol.37 , pp. 537-43
    • Samuelson, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.