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Asset Pricing with Liquidity Risk. (2004). Pedersen, Lasse ; Acharya, Viral.
In: NBER Working Papers.
RePEc:nbr:nberwo:10814.

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Cited: 19

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  1. .

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  2. Trend in aggregate idiosyncratic volatility. (2017). Kang, Moonsoo ; Khaksari, Shahriar ; Nam, Kiseok.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:35:y:2017:i:1:p:11-28.

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  3. Trend in aggregate idiosyncratic volatility. (2017). Kang, Moonsoo ; Khaksari, Shahriar ; Nam, Kiseok.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:35:y:2017:i:c:p:11-28.

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  4. Stock Market Liberalisation and Cost of Equity: Firm-Level Evidence from Malaysia. (2016). Lim, Kian-Ping ; Foong, Swee-Sim .
    In: Asian Academy of Management Journal of Accounting and Finance (AAMJAF).
    RePEc:usm:journl:aamjaf012s1_19-42.

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  5. Modelling and forecasting government bond spreads in the euro area: A GVAR model. (2013). Favero, Carlo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:343-356.

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  6. Dodging the Steamroller: Fundamentals versus the Carry Trade. (2013). Lu, Wenna ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2013/11.

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  7. A new model-based approach to measuring time-varying financial market integration. (2011). Berger, Tino ; Pozzi, L..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:11/714.

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  8. The first global financial crisis of the 21st century,Part II: Introduction. (2009). Reinhart, Carmen ; Felton, Andrew.
    In: MPRA Paper.
    RePEc:pra:mprapa:13607.

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  9. How Does Liquidity Affect Government Bond Yields?. (2008). von Thadden, Ernst-Ludwig ; Pagano, Marco ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6649.

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  10. How Does Liquidity Affect Government Bond Yields?. (2007). von Thadden, Ernst-Ludwig ; Pagano, Marco ; Favero, Carlo.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:181.

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  11. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

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  12. Estimating liquidity using information on the multivariate trading process. (2006). Pohlmeier, Winfried ; Nolte, Ingmar ; Bien, Katarzyna .
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0604.

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  13. Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk. (2006). Spiegel, Matthew ; Wang, Xiaotong .
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2540.

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  14. Estimating liquidity using information on the multivariate trading process. (2006). Pohlmeier, Winfried ; Nolte, Ingmar ; Bień-Barkowska, Katarzyna.
    In: Working Papers.
    RePEc:wse:wpaper:10.

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  15. Phase-Locking and Switching Volatility in Hedge Funds. (2006). Pelizzon, Loriana ; Billio, Monica ; Getmansky, Mila.
    In: Working Papers.
    RePEc:ven:wpaper:2006_54.

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  16. Asset Prices and asset Correlations in Illiquid Markets. (2006). Brunetti, Celso.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:331.

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  17. Valutation, Liquidity and Risk in Government Bond Markets. (2005). von Thadden, Ernst-Ludwig ; Pagano, Marco ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:281.

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  18. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Chordia, Tarun .
    In: Staff Reports.
    RePEc:fip:fednsr:207.

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  19. The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6z81z2wc.

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  46. Bank Relationships: Effect on the Availability and Marginal Cost of Credit for Firms in Argentina. (2002). Streb, Jorge ; Sosa Escudero, Walter ; Alejandro Henke Author-X-Name_First: Alejandro Aut, ; Pablo Druck Author-X-Name_First: Pablo Author-X-Na, ; Jose Rutman Author-X-Name_First: Jose Author-X-Nam, ; Javier Bolzico Author-X-Name_First: Javier Author-, .
    In: Research Department Publications.
    RePEc:idb:wpaper:3140.

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  47. Variation sur le thème A la recherche de nouvelles fondations pour la finance et la gouvernance dentreprise. (2002). Charreaux, Gerard.
    In: Working Papers CREGO.
    RePEc:dij:wpfarg:011201.

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  48. Variation sur le thème:À la recherche de nouvelles fondations pour la finance et la gouvernance dentreprise. (2002). Charreaux, Gerard.
    In: Revue Finance Contrôle Stratégie.
    RePEc:dij:revfcs:v:5:y:2002:i:q3:p:5-68.

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  49. Bank relationships: effect on the availability and marginal cost of credit for firms in Argentina. (2002). Streb, Jorge ; Sosa Escudero, Walter ; Henke, Alejandro ; Druck, Pablo ; Rutman, Jose ; Bolzico, Javier.
    In: CEMA Working Papers: Serie Documentos de Trabajo..
    RePEc:cem:doctra:216.

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  50. Investor Psychology and Asset Pricing. (2001). Hirshleifer, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:5300.

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