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Title: Transaction costs, liquidity risk, and the CCAPM
Authors: Liu, Weimin
Luo, Di
Zhao, Huainan
Keywords: Transaction costs
Liquidity risk
Consumption-based asset pricing
Issue Date: 2016
Publisher: © Elsevier
Citation: LIU, W., LUO, D. and ZHAO, H., 2016. Transaction costs, liquidity risk, and the CCAPM. Journal of Banking & Finance, 63, pp. 126-145.
Abstract: In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure of Hasbrouck (2009) and the bid-ask spread estimates of Corwin and Schultz (2012), we find that the liquidity-adjusted CCAPM explains a larger fraction of the cross-sectional return variations.
Description: This paper is in closed access until 7th June 2017.
Version: Accepted for publication
DOI: 10.1016/j.jbankfin.2015.11.011
URI: https://dspace.lboro.ac.uk/2134/24076
Publisher Link: http://dx.doi.org/10.1016/j.jbankfin.2015.11.011
ISSN: 0378-4266
Appears in Collections:Closed Access (Business School)

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