Construct · 1 fields · 1 citations

liquidity-adjusted CAPM: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

asset pricing model in which expected returns depend on market beta plus three liquidity betas capturing how a security's liquidity and returns covary with market liquidity.

In asset pricing, liquidity-adjusted CAPM refers to asset pricing model in which expected returns depend on market beta plus three liquidity betas capturing how a security's liquidity and returns covary with market liquidity. This meaning comes from Acharya (2005) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs beta3 fields · 3 citationsjingle · one word, three constructs liquidity2 fields · 2 citationsjingle · one word, two constructs

References

Acharya, V., & Pedersen, L. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77(2), 375-410. https://doi.org/10.1016/j.jfineco.2004.06.007

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