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Download fileTransaction costs, liquidity risk, and the CCAPM
journal contribution
posted on 2017-02-10, 11:02 authored by Weimin Liu, Di Luo, Huainan ZhaoHuainan ZhaoIn this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure of Hasbrouck (2009) and the bid-ask spread estimates of Corwin and Schultz (2012), we find that the liquidity-adjusted CCAPM explains a larger fraction of the
cross-sectional return variations.
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- Business and Economics
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- Business