The capital asset pricing model and the liquidity effect: A theoretical approach

By Gady Jacoby, D. J. Fowler, Aron Gottesman. 2000

195 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/c22703551440fa4386116543f0a9704962888993

Citations in the corpus

• Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007, unknown): “Amihud and Mendelson (1986) and Jacoby, Fowler, and Gottesman (2000) provide theoretical arguments and empirical evidence to show how liquidity impacts stock returns in the cross-section, while Jones (2001) and Amihud (2002) show that liquidity predicts expected returns.”
• An Empirical Analysis of Stock and Bond Market Liquidity (2005, unknown): “Amihud and Mendelson (1986) and Jacoby, Fowler, and Gottesman (2000) provide theoretical arguments to show how liquidity impacts financial market prices.”
• Size, Value and Liquidity: Do They Really Matter on an Emerging Stock Market? (2012, unknown): “…of liquidity or it’s inverse, the so-called Amihud measure; Haugen and Baker (1996), Datar et al. (1998) and Rouwenhorst (1999) use turnover; Amihud and Mendelson (1986), Eleswarapu and Reinganum (1993), Jacoby et al. (2000), and Chordia et al. (2000) use versions of a bid-ask spread measure.”
• The World Price of Earnings Opacity (2003, unknown): “Jacoby, Fowler, and Gottesman (2000) extend this to risky assets.”