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Asset pricing with liquidity risk

V ACHARYA, L PEDERSEN

Journal of Financial Economics, 2005. DOI 10.1016/j.jfineco.2004.06.007

Has this study been replicated?

The atlas records 2 replications of this study. Recorded outcomes: 1 mixed, 1 failed.

Replications

• Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data, Kazumori et al. (2019). Outcome recorded: mixed. The LCAPM satisfies the one-variable test in 36.0% of regressions and the two-variable test in 5.2% of regressions conducted using the US data. View paper
• Do the LCAPM Predictions Hold? Replication and Extension Evidence, Holden & Nam (2019). Outcome recorded: failed. in the large majority of cases, our replication evidence fails to support that the main LCAPM predictions all hold simultaneously. View paper

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