Plymouth , Devon PL48AA
University of Plymouth
market liquidity, momentum crashes, tail risk, predictors
asset pricing model, illiquidity effect, risk, illiquidity premium, CAPM
foreign investor, institutional investor, Qualified Foreign Institutional Investor (QFII) scheme, China
risk, mispricing, aggregate liquidity risk, asset pricing models, intertemporal-CAPM
dynamic conditional correlations, Bitcoin, conventional currencies, integration patterns, hedging potential
power utility, iterated GMM, risk premia, specification errors, CAPM
COVID-19 pandemic, policy interventions, infection fundamentals, infection sentiments
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Asset‐pricing model, illiquidity effect, predicted factor risk premium, model betas
Equity premium, Risk aversion, C-CAPM, Hansen and Jagannathan (1997) specification measure
CAPM, Macro risks, Cross-sectional variations, Hansen and Jagannathan (1997) specification measure
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