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• W1974090527 abstract "This paper derives a liquidity-adjusted conditional two-moment capital asset pricing model (CAPM) and a liquidity-adjusted conditional three-moment CAPM respectively based on theory of stochastic discount factor. The liquidity-adjusted conditional two-moment CAPM shows that a security's conditional expected excess return consists of three parts: its conditional expected liquidity cost, the systemic risk premium and the liquidity risk premium. The liquidity-adjusted conditional three-moment CAPM shows that a security's conditional expected excess return depends on its conditional expected liquidity cost, the conditional covariance between its return and the market return, the conditional covariance between its liquidity cost and the market liquidity cost, and the conditional coskewness of its return and the market return." @default.
• W1974090527 created "2016-06-24" @default.
• W1974090527 creator A5043657586 @default.
• W1974090527 creator A5051005273 @default.
• W1974090527 date "2012-03-01" @default.
• W1974090527 modified "2023-09-27" @default.
• W1974090527 title "Liquidity-adjusted conditional capital asset pricing model" @default.
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• W1974090527 doi "https://doi.org/10.1016/j.econmod.2011.11.007" @default.
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