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Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data

Eiichiro Kazumori, Fei Fang, Raj Sharman, Fumiko Takeda, Hong Yu

Critical Finance Review, 2019. DOI 10.1561/104.00000072

Has this study been replicated?

This paper is itself a replication attempt. The study it set out to replicate is listed below.

Study replicated

• Asset pricing with liquidity risk, ACHARYA & PEDERSEN (2005). Journal of Financial Economics. View paper

Cite this record

Kazumori, E., Fang, F., Sharman, R., Takeda, F., & Yu, H. (2019). Asset Pricing with Liquidity Risk:A Replication and Out-of-Sample Testswith the Recent US and the JapaneseMarket Data. Critical Finance Review, 8(1–2), 73–110. https://doi.org/10.1561/104.00000072

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