Abstract

http://ssrn.com/abstract=1518108
 
 

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Liquidity and Asset Returns: A Literature Survey


Nawazish Mirza


Lahore School of Economics - Centre for Research in Economics and Business

December 3, 2009


Abstract:     
Asset pricing is a dominant theme in financial economics and various propositions on the subject assumes a frictionless environment with selective determinants of risk factors that are priced. However, in reality financial markets exhibit frictions of transaction costs, information asymmetry, heterogeneous beliefs etc that has contributed towards weak empirical performance of traditional asset pricing models. This paper reviews existing research in financial economics on the relevance of liquidity as a valid risk factor. The survey covers various empirical measures discussed in financial literature along with empirical evidences on contribution of liquidity in asset pricing.

Number of Pages in PDF File: 18

Keywords: Asset Pricing, Liquidty

JEL Classification: G10, G12

working papers series


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Date posted: December 5, 2009  

Suggested Citation

Mirza, Nawazish, Liquidity and Asset Returns: A Literature Survey (December 3, 2009). Available at SSRN: http://ssrn.com/abstract=1518108 or http://dx.doi.org/10.2139/ssrn.1518108

Contact Information

Nawazish Mirza (Contact Author)
Lahore School of Economics - Centre for Research in Economics and Business ( email )
Intersection Main Boulevard
Phase VI DHA and Burki Road
Burki, Lahore 53200
Pakistan
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