2003•SSRN Electronic JournalOpen access
Asset Pricing with Liquidity Risk
Viral V. Acharya, Lasse Heje Pedersen
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Viral V. Acharya, Lasse Heje Pedersen
Abstract
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Key concepts: Liquidity risk, Market liquidity, Liquidity crisis, Capital asset pricing model, Funding liquidity, Accounting liquidity, Consumption-based capital asset pricing model, Liquidity premium