Noise as Information for Illiquidity

Author:

HU GRACE XING,PAN JUN,WANG JIANG

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference46 articles.

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

2. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006

3. Affine term structure models and the forward premium anomaly;Backus;Journal of Finance,2001

4. Accounting for forward rates in markets for foreign currency;Backus;Journal of Finance,1993

5. The illiquidity of corporate bonds;Bao;Journal of Finance,2011

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