Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets
The study examines the liquidity adjusted capital asset pricing model in developed and emerging markets. Amihud measure is used to compute market liquidity. Innovations in Amihud ratio are generated through the autoregressive process to avoid autocorrelation in illiquidity data series. Decile portf...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology
2020-12-01
|
| Series: | JISR Management and Social Sciences & Economics |
| Subjects: | |
| Online Access: | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/59 |