Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach

Malick Fall (), Waël Louhichi () and Jean-Laurent Viviani ()
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Malick Fall: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique
Waël Louhichi: ESSCA - ESSCA – École supérieure des sciences commerciales d'Angers = ESSCA Business School

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Keywords: Liquidity; risk; Liquidity; premium; Conditional; liquidity-adjusted; CAPM; Unobserved; components; models (search for similar items in EconPapers)
Date: 2019-08
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Citations: View citations in EconPapers (3)

Published in Economic Modelling, 2019, 80, pp.75-86. ⟨10.1016/j.econmod.2018.06.008⟩

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Journal Article: Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01910218

DOI: 10.1016/j.econmod.2018.06.008

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