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    Essays on Liquidity Risk and Asset Pricing 

    Banerjee, Anandi (2017-05-17)
    This dissertation consists of two essays on liquidity risk and asset pricing. In the first essay, I diagnose the impact of error-in-variables (EIV) on inferences in asset pricing models. I test the CAPM and the liquidity-adjusted ...

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    Author
    Banerjee, Anandi (1)
    SubjectCAPM (1)Forecasted idiosyncratic volatility (1)Idiosyncratic volatility (1)LCAPM (1)Liquidity risk (1)Systematic risk (1)... View MoreDate Issued
    2017 (1)
    Has File(s)Yes (1)

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