Liquidity and Asset Pricing under the Presence of Market Frictions; with an Analysis

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2022-9-05

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Özcan, Burcu

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This paper provides a literature review on the models explaining the relationship between liquidity and asset prices with an emphesis on the Vayanos and Wang’s model (2012) which is one of the most significant contributions to this literature.

Subject Keywords

market liquidity, market frictions, illiquidity measures, asset pricing

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https://hdl.handle.net/11511/98662

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Graduate School of Applied Mathematics, Term Project

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Citation Formats

B. Özcan, “Liquidity and Asset Pricing under the Presence of Market Frictions; with an Analysis,” M.S. - Master Of Science Without Thesis, Middle East Technical University, 2022.