How is Liquidity Priced in Global Markets?
In an insightful new research, GFRI’s Prof. Ines Chaieb develops a formal international asset pricing model that takes into account cross-border investment barriers, as well as random transaction costs, to analyse the effects of liquidity cost and systematic liquidity risk factors on the pricing of securities.
The empirical results shed light on the channels through which liquidity affects asset prices in partially segmented markets and how this pricing relation changes over time and across countries.
The paper was co-authored with Professors Vihang Errunza from McGill University and Hugues Langlois from HEC Paris and will be published in the forthcoming issue of the prestigious journal Review of Financial Studies.
For the paper.
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