Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/245200 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2019 [Pages:] 1-15
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets. Systematic liquidity risk is found to be significant in impacting asset returns through various channels, viz. commonality in liquidity and illiquidity sensitivity to market returns. Covariance between individual stock returns and associated stock liquidity has a commanding influence as an idiosyncratic liquidity risk factor. The estimated asset pricing model is found to be robust across the two sub-time periods. The findings indicate that given the multidimensional nature of risk, the alternative of LCAPM along with the idiosyncratic risk is persuasive for consideration in investment decisions.
Schlagwörter: 
illiquidity
liquidity risk
NSE
emerging market
liquidity-adjusted CAPM
JEL: 
G10
G12
G15
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