Transaction costs, liquidity risk, and the CCAPM

doi:10.1016/j.jbankfin.2015.11.011

科研成果详情

发表状态	已发表Published
题名	Transaction costs, liquidity risk, and the CCAPM
作者	Liu, Weimin1,2,3 ; Luo, Di 4; Zhao, Huainan 5
发表日期	2016-02-01
发表期刊	Journal of Banking and Finance
ISSN/eISSN	0378-4266
卷号	63 页码:126-145
摘要	In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure of Hasbrouck (2009) and the bid-ask spread estimates of Corwin and Schultz (2012), we find that the liquidity-adjusted CCAPM explains a larger fraction of the cross-sectional return variations.
关键词	Consumption-based asset pricing Liquidity risk Transaction costs
DOI	10.1016/j.jbankfin.2015.11.011
URL	查看来源
收录类别	SSCI
语种	英语English
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000369463800009
Scopus入藏号	2-s2.0-84949984167
引用统计	被引频次：10[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/10934
专题	个人在本单位外知识产出
通讯作者	Luo, Di
作者单位	1.Nottingham University Business School,United Kingdom 2.Nottingham University Business School,China 3.Shanxi University,China 4.Swansea University,United Kingdom 5.Cranfield University School of Management,United Kingdom
推荐引用方式 GB/T 7714	Liu, Weimin,Luo, Di,Zhao, Huainan. Transaction costs, liquidity risk, and the CCAPM[J]. Journal of Banking and Finance, 2016, 63: 126-145.
APA	Liu, Weimin, Luo, Di, & Zhao, Huainan. (2016). Transaction costs, liquidity risk, and the CCAPM. Journal of Banking and Finance, 63, 126-145.
MLA	Liu, Weimin,et al."Transaction costs, liquidity risk, and the CCAPM". Journal of Banking and Finance 63(2016): 126-145.