Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach

Article English OPEN
Fall , Malick; Louhichi , Waël; Viviani , Jean Laurent;
(2018)
  • Publisher: Elsevier
  • Related identifiers: doi: 10.1016/j.econmod.2018.06.008
  • Subject: [ SHS ] Humanities and Social Sciences | Liquidity risk | Liquidity premium | Liquidity risk Liquidity premium Conditional liquidity-adjusted CAPM Unobserved components models | Unobserved components models | Conditional liquidity-adjusted CAPM | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | [SHS.GESTION]Humanities and Social Sciences/Business administration | [SHS.ECO]Humanities and Social Sciences/Economies and finances | JEL: G - Financial Economics/G.G1 - General Financial Markets | JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | [ SHS.GESTION ] Humanities and Social Sciences/Business administration | JEL : G - Financial Economics/G.G1 - General Financial Markets

International audience; The aim of this paper is to test empirically the conditional liquidity-adjusted capital asset pricing model (L-CAPM) developed by Acharya and Pedersen (2005). Accordingly, we propose to estimate the L-CAPM using unobserved components methodology,... View more
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