Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model
This paper investigates time-varying characteristics of illiquidity and the pricing of its risk using a liquidity-adjusted capital asset pricing model (L-CAPM). Collecting data from a pool of Eurozone countries between 1990 and 2018, we employ Markov switching models to assess the degree of persiste...
| Main Authors: | , , , |
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| Language: | en |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10454/17055 |