Illiquidity premium and expected stock returns in the UK: a new approach

DOI10.1016/J.PHYSA.2016.03.035zbMath1400.91413OpenAlexW2335713934MaRDI QIDQ1619642

Mohamed Sherif, Jiaqi Chen

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.03.035

zbMATH Keywords

asset pricing modelsHansen-Jagannathan testmultiple illiquidity measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• Common risk factors in the returns on stocks and bonds
• Random walks, liquidity molasses and critical response in financial markets

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