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On Asset Pricing and the Bid-Ask Spread
Amihud and Mendelson’s (1986) ground-breaking model predicts an increasing and concave relation between expected return and relative spread, designated the clientele effect. In theirExpand
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The capital asset pricing model and the liquidity effect: A theoretical approach
In this paper we develop a CAPM-based model which incorporate liquidity costs. This model implies, that for markets with nontrivial liquidity costs, the measure of systematic risk is based on returnsExpand
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Measuring credit spreads: evidence from Australian Eurobonds
Recent theoretical models including the closed-form valuation model of Longstaff and Schwartz (1995) predict that credit spreads are driven by both an asset and interest rate factor. In empiricalExpand
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Ownership dispersion and market liquidity
We revisit the relationship between ownership dispersion and market liquidity. For ownership dispersion, we consider two dimensions: number of shareholders and blockholder ownership. For marketExpand
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Default- and call-adjusted duration for corporate bonds
Abstract Call and default can potentially alter the timing and amounts of promised cashflows for callable, corporate bonds. While prior research has indicated the theoretical importance of adjustingExpand
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Testing the Elasticity of Corporate Yield Spreads
What drives the compensation demanded by investors in risky bonds? Longstaff and Schwartz (1995) predict that one key factor is the time-varying negative correlation between interest rates and theExpand
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A Duration Model For Defaultable Bonds
I extend recent theoretical work on duration and derive an improved model for the risk-adjusted duration of corporate bonds. My ex-ante risk-adjusted duration is the sum of the bond's Fisher-WeilExpand
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Corporate governance, external control, and environmental information transparency: Evidence from emerging markets
Using a sample of 4195 observations from 19 emerging markets, we investigate how internal corporate governance, external monitoring, and legal and business environment jointly affect a firm’sExpand
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Cross-Market Liquidity Shocks: Evidence from the CDS, Corporate Bond, and Equity Markets
Using data from the credit default swap (CDS), corporate bond, and equity markets, we construct several measures of liquidity and examine the spill-over of liquidity shocks across these markets.Expand
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Portfolio selection subject to experts' judgments
Since Markowitz [Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77-91.], mean-variance theory has assumed that risky-asset returns to be random variables. The theory dealsExpand
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