Browsing Norges Banks vitenarkiv by Subject "CAPM"
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What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors
(Working Papers;3/2007, Working paper, 2007)Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of ...