Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
Dion Bongaerts; Frank de Jong; Joost Driessen · 2011 · The Journal of Finance
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract (excerpt)
ABSTRACT We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short‐sellers have…
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Metadata source: OpenAlex · DOI 10.1111/j.1540-6261.2010.01630.x