2008•Zhongguo guanli kexueRequires access

Theoretical and Empirical Studies on the Liquidity Asset Pricing

Ning Yuan

Abstract

Due to transaction costs and market frictions,asset prices deviate from anticipations of the standard asset pricing theories.Liquidity premia occur to compensate investors for bearing liquid risks.The sources,characteristics and mechanisms of illiquidity attract continuing academic interests.Especially,the effects of illiquidity on investors' optimal consumption and investment policy,asset prices or returns,and asset premia have become one of the most challenging and attractive issues in the field of asset pricing.This paper reviews the theoretical and empirical literature concerning relations between liquidity and asset prices.

About this research paper

What this paper is about

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Capital asset pricing model, Market liquidity, Consumption-based capital asset pricing model, Asset (computer security), Economics, Liquidity risk, Basis risk, Investment (military)