Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
Dion Bongaerts; De Jong, FCJM; Driessen, JJAG · 2011 · EUR Research Repository (Erasmus University Rotterdam)
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract (excerpt)
We derive an equilibrium asset pricing model incorporating liquidity risk, derivative assets, and short-selling due to hedging of non-traded risk. We show that, both for positive-net-supply assets and derivatives, the sign of liquidity…
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Metadata source: OpenAlex · DOI 10.1111/j.1540-6261.2010.01630.x