本文的主要目的是通过应用Amihud(2002)提出的资产流动性风险的度量方法——非流动性溢价(Illiquidity Premium)建立起一个系统流动性风险因素,并将此风险因素纳入经典的资本资产定价模型(CAPM)和Fama-French三因素模型(Fama-French Three-Fac...
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By reassuring investors that a committed buyer is in the market, it hopes to reduce the illiquidity premium pushing yields up.
ECONOMIST: The Federal Reserve
Over time, on average, 3% represents an illiquidity premium.
FORBES: How Cheap Is High Yield?
The greater risk theory supposes that the value premium is due to unobserved risk within those securities, such as hidden financial distress or illiquidity in the marketplace.
FORBES: Value Stocks and Dividends
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