The implied liquidity premium for equities

DOI10.1007/S10436-005-0026-7zbMATH Open1233.91324OpenAlexW1992582290MaRDI QIDQ665709FDOQ665709

Ioannis Karatzas, E. Robert Fernholz

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-005-0026-7

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zbMATH Keywords

size effectliquidity premiumranked market weights

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
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• Atlas models of equity markets
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• Relative arbitrage in volatility-stabilized markets
• Equity portfolios generated by functions of ranked market weights
• The Decentralization of Information Processing in the Presence of Interactions

Cited In (6)

• Title not available (Why is that?)
• Implied liquidity risk premia in option markets
• Generalized moment estimation of stochastic differential equations
• Is there a size effect in the pricing of stocks in the chinese stock markets?: The case of bull versus bear markets
• The liquidity discount.
• EVOLUTION OF FIRM SIZE

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