Yingshan Chen

South China University of Technology

Wushan

Guangzhou, AR Guangdong 510640

China

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Incomplete Information and the Liquidity Premium Puzzle

Number of pages: 63 Posted: 14 Dec 2018 Last Revised: 24 Mar 2020
Yingshan Chen, Min Dai, Luis Goncalves-Pinto, Jing Xu and Cheng Yan
South China University of Technology, National University of Singapore (NUS) - Department of Mathematics, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
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Abstract:

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia