Higher-moment liquidity risks and the cross-section of stock returns
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DOI: 10.1016/j.finmar.2017.10.001
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Cited by:
- Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "China's illiquidity premium: Due to risk-taking or mispricing?," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
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More about this item
Keywords
Asset pricing; Liquidity risk; Higher-moment liquidity risks;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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