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Showing 1 to 1 of 1 for “"LCAPM"”.
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Essays on Liquidity Risk and Asset Pricing
… with average returns. I find that the LCAPM cannot be rejected when the betas are estimated at the stock-level, and the intercept of the model is insignificant. In the second essay, I explore the relation between idiosyncratic volatility and the cross-section of expected returns. I use …