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Further tests of asset pricing models: Liquidity risk matters
Xiuli Ma, Xindong Zhang, Weimin Liu
Nottingham University Business School China
Research output
:
Journal Publication
›
Article
›
peer-review
6
Citations (Scopus)
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Keyphrases
Liquidity Risk
100%
Tests of Asset Pricing Models
100%
Liquidity
66%
Capital Asset Pricing Model
50%
Stock Market Volatility
16%
Financial Markets
16%
Liquidity Factor
16%
Market Regulation
16%
Turmoil
16%
Risk Model
16%
Price of Risk
16%
Testing Procedures
16%
Impact-based
16%
Asset Pricing
16%
Liquidity Risk Premium
16%
Price Impact
16%
Investment Decision-making
16%
Market Research
16%
Economics, Econometrics and Finance
Financial Economics
100%
CAPM
100%
Volatility
33%
Risk Premium
33%
Financial Market
33%
Investment Decision
33%
Pricing
33%
Asset Pricing
33%