全球智库信息集成服务系统(G2TT): DP4705 Changes in the Distribution of Male and Female Wages Accounting for Employment Composition Using Bounds

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP4705
	DP4705 Changes in the Distribution of Male and Female Wages Accounting for Employment Composition Using Bounds
	Richard Blundell; Costas Meghir; Amanda Gosling; Hidehiko Ichimura
发表日期	2004-10-23
出版年	2004
语种	英语
摘要	This Paper solves explicitly a simple equilibrium asset pricing model with liquidity risk ? the risk arising from unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security?s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with market return and market liquidity. In addition, the model shows how a negative shock to a security?s liquidity, if it is persistent, results in low contemporaneous returns and high predicted future returns. The model provides a simple, unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels.
主题	Financial Economics
关键词	Liquidity Liquidity risk Asset pricing frictions Transaction costs
URL	https://cepr.org/publications/dp4705
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/533623
推荐引用方式 GB/T 7714	Richard Blundell,Costas Meghir,Amanda Gosling,et al. DP4705 Changes in the Distribution of Male and Female Wages Accounting for Employment Composition Using Bounds. 2004.