Browsing DFAEII by Author "Nieto, Belén"
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Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market
Rubio Irigoyen, Gonzalo; Martínez Sedano, Miguel Ángel; Nieto, Belén (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this ...