Stock Liquidity Risk and the Cross-sectional Earnings-Returns Relationship
نویسندگان
چکیده
منابع مشابه
cross-sectional stock returns, market liquidity risk, and financial market anomalies
to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...
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ژورنال
عنوان ژورنال: Journal of Business Finance & Accounting
سال: 2016
ISSN: 0306-686X
DOI: 10.1111/jbfa.12209