| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3737 |
| DP3737 Managerial Incentives and the International Organization of Production | |
| Elhanan Helpman; Gene Grossman | |
| 发表日期 | 2003-02-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in liquidity over time). It is shown that the required return on a security depends on its expected illiquidity, the covariances of its own return, illiquidity with market return, and market illiquidity. This gives rise to a liquidity-adjusted capital asset pricing model. Further, if a security's liquidity is persistent, a shock to its illiquidity results in low contemporaneous returns and high predicted future returns. Empirical evidence based on cross-sectional tests is consistent with liquidity risk being priced. |
| 主题 | Financial Economics |
| 关键词 | Liquidity Liquidity risk Capital asset pricing model (capm) Liquidity premium Equilibrium asset pricing |
| URL | https://cepr.org/publications/dp3737 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532743 |
| 推荐引用方式 GB/T 7714 | Elhanan Helpman,Gene Grossman. DP3737 Managerial Incentives and the International Organization of Production. 2003. |
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