Asset market equilibrium with liquidity risk
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DOI: 10.1007/s10436-017-0316-x
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Cited by:
- Jarrow, Robert & Li, Siguang, 2021. "Endogenous liquidity risk and dealer market structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 449-453.
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More about this item
Keywords
Liquidity risk; Asset market equilibrium; Systematic risk; Intertemporal CAPM; Consumption CAPM;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
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
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