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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

  • Published:2013-09-10 Issue:5 Volume:68 Page:1805-1841
  • ISSN:0022-1082
  • Container-title:The Journal of Finance
  • language:en
  • Short-container-title:THE JOURNAL OF FINANCE

Author:

MANCINI LORIANO,RANALDO ANGELO,WRAMPELMEYER JAN

Funder

Swiss National Science Foundation-National Centre of Competence

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference69 articles.

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

2. How often to sample a continuous-time process in the presence of market microstructure noise;Aït-Sahalia;Review of Financial Studies,2005

3. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

4. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,1986

5. Infrequent portfolio decisions: A solution to the forward discount puzzle;Bacchetta;American Economic Review,2010

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2. Options illiquidity in an over-the-counter market;International Review of Financial Analysis;2024-07

3. On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis;Annals of Operations Research;2024-05-09

4. Extremely stablecoins;Finance Research Letters;2024-05

5. Liquidity Risk and Currency Premia;Management Science;2024-04-08
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