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Beber et al., 2011 - Google Patents

Pricing liquidity risk with heterogeneous investment horizons

Beber et al., 2011

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Document ID
4998045825559062916
Author
Beber A
Driessen J
Tuijp P
Publication year

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We develop a liquidity-based asset pricing model featuring investors with heterogeneous investment horizons and stochastic transaction costs. In an equilibrium where all investors invest in all assets (integration), we find that the existence of investors with heterogeneous …
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