Liquidity Risk and Asset Pricing in Pakistan Stock Exchange

Liquidity Risk and Asset Pricing in Pakistan Stock Exchange

This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors’ attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by including the interaction between the liquidi...

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Bibliographic Details
Main Authors: Abdul Rashid, Asma Aib
Format: Article
Language:English
Published: Shaheed Zulfikar Ali Bhutto Institute of Science and Technology 2021-06-01
Series:JISR Management and Social Sciences & Economics
Subjects:
asset pricing models
bull and bear markets
liquidity risk
risk premium
transaction cost theory
Online Access:https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/18

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