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Is Liquidity Risk Priced in Partially Segmented Markets?
49/49 checkable references clean · checked 2026-08-28
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
4 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 49 checked references that resolve
resolves10.1093/rfs/hhx084
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
resolves10.1016/s1386-4181(01)00024-6
Illiquidity and stock returns: cross-section and time-series effects
resolves10.1111/j.1540-6261.2012.01802.x
Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis
resolves10.1111/j.1540-6261.2010.01630.x
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
resolves10.1111/j.1540-6261.2007.01230.x
Efficiency and the Bear: Short Sales and Markets Around the World
resolves10.1016/j.jfineco.2006.06.008
International asset pricing under segmentation and PPP deviations
resolves10.1111/j.1540-6261.1986.tb04555.x
A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership
resolves10.1016/0304-405x(76)90005-2
Sharing rules and equilibrium in an international capital market under uncertainty
resolves10.1093/rfs/hhq044
Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets
resolves10.1561/104.00000058
Illiquidity and Stock Returns: Cross-Section
and Time-Series Effects: A Replication
resolves10.2139/ssrn.2848373
Testing the LCAPM vs. Generalized Liquidity-Adjusted Asset Pricing: New Evidence and New Perspectives
resolves10.1093/rfs/hhn053
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
resolves10.1111/j.1540-6261.1984.tb03897.x
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
resolves10.1016/j.jfineco.2005.04.005
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
The 4 references without a DOI — listed, not checked
no DOI — not checkedAlternative factor specifications, security characteristics and the cross-section of expected returns
no DOI — not checkedref25
no DOI — not checkedref26
no DOI — not checkedref32
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