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Liquidity Risk in Financial Markets

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  • Driessen, Joost

    (Tilburg University, School of Economics and Management)

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  • Driessen, Joost, 2010. "Liquidity Risk in Financial Markets," Other publications TiSEM d03ff62e-ec3c-43ba-879c-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:d03ff62e-ec3c-43ba-879c-f87bf19906a6
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    References listed on IDEAS

    as
    1. Bank for International Settlements, 1999. "A Review of Financial Market Events in Autumn 1998," CGFS Papers, Bank for International Settlements, number 12.
    2. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
    3. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    4. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    5. Francis A. Longstaff, 2004. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," The Journal of Business, University of Chicago Press, vol. 77(3), pages 511-526, July.
    Full references (including those not matched with items on IDEAS)

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