This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

Researchers have various ways to measure liquidity but most of them come with both merits
and demerits. This study provides a literature review of low‐frequency liquidity measures …

Die fünfte Auflage hat ihre wesentlichen Änderungen durch zwei neue Kapitel 10 und 11 zu
Besonderheiten der Unternehmensbewertung für die Steuerbemessung und zur …

This study investigates whether marketwide liquidity is a state variable important for asset
pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of …

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-
adjusted capital asset pricing model, a security's required return depends on its expected …

" Aswath Damodaran is simply the best valuation teacher around. If you are interested in the
theory or practice of valuation, you should have Damodaran on Valuation on your bookshelf …

Motivated by the behavior of asset prices, trading volume, and price volatility during
episodes of asset price bubbles, we present a continuous-time equilibrium model in which …

We build a model that helps to explain why increases in liquidity—such as lower bid–ask
spreads, a lower price impact of trade, or higher turnover–predict lower subsequent returns …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

The way in which securities are traded is very different from the idealized picture of a
frictionless and self-equilibrating market offered by the typical finance textbook. Market …