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Market-wide illiquidity and the distribution of non-parametric stochastic discount factors

  • Published:2023-05 Issue: Volume:87 Page:102650
  • ISSN:1057-5219
  • Container-title:International Review of Financial Analysis
  • language:en
  • Short-container-title:International Review of Financial Analysis

Author:

Abad David,Nieto Belén,Pascual Roberto,Rubio Gonzalo

Funder

Generalitat Valenciana Conselleria d' Educació, Investigació, Cultura i Esport

Generalitat Valenciana

Universidade de Santiago de Compostela

Ministerio de Ciencia e Innovación

Universidad de Zaragoza

European Regional Development Fund

Agencia Estatal de Investigación

Ministerio de Ciencia, Innovación y Universidades

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference50 articles.

1. A simple estimation of bid–ask spreads from daily close, high, and low prices;Abdi;The Review of Financial Studies,2017

2. Liquidity risk of corporate bond returns: Conditional approach;Acharya;Journal of Financial Economics,2013

3. Asset pricing with liquidity risk;Acharya;Journal of Financial Economics,2005

4. Economics with market liquidity risk;Acharya;Critical Finance Review,2019

5. Illiquidity and stock returns. Cross–section and time series effects;Amihud;Journal of Financial Markets,2002

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Risk-adjusted performance of new economy indices and thematic sectors;Research in International Business and Finance;2024-08

2. On the robust drivers of cryptocurrency liquidity: the case of Bitcoin;Financial Innovation;2024-05-22
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