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| Author: | Lee, K-H. |
| Title: | The world price of liquidity risk |
| Journal: | Journal of Financial Economics
2011 : JAN, VOL. 99:1, p. 136-161 |
| Index terms: | international financial markets emerging markets market segmentation integration assets pricing models liquidity risk |
| Language: | eng |
| Abstract: | In the paper, the liquidity-adjusted capital asset pricing model by Acharya and Pedersen (2005) on a global level is empirically tested. Consistent with the model, there is found evidence that liquidity risks (henceforth as: liq-risk/s) are priced independently of market risk in international financial markets. Furhermore, it is also shown that the U.S. market is an important driving force of global liq-risk/s. The pricing of liq-risk is found to vary across countries according to economic, geographic, and political environments. |
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