Open issues in testing liquidity in frontier financial markets: The case of Serbia
This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005). We use daily data for the period from 2005-2009....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, Belgrade
2010-01-01
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| Series: | Ekonomski Anali |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2010/0013-32641085033M.pdf |