Concepedia

Illiquidity Pricing

Illiquidity Pricing is a financial valuation framework that quantifies the premium or discount asset prices exhibit due to restricted marketability or high transaction costs, distinguishing it from other pricing models by explicitly incorporating the cost of converting assets into cash under time or liquidity constraints.

215

Publications

19.3K

Citations

320

Authors

259

Institutions

Publications per year

2017–2026

36

Parents

Publications

215

Asset pricing with liquidity risk

Viral V. Acharya, Lasse Heje Pedersen · Journal of Financial Economics · 2005 · 2.9K citations

, , +17

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

Michael J. Brennan, Avanidhar Subrahmanyam · Journal of Financial Economics · 1996 · 1.6K citations

, , +16

Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

Yakov Amihud · SSRN Electronic Journal · 2018 · 1.2K citations · Full text

, , +14

Investment analysis and price formation in securities markets

Michael J. Brennan, Avanidhar Subrahmanyam · Journal of Financial Economics · 1995 · 775 citations · Full text

, , +17

Valuation in Over-the-Counter Markets

Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen · Review of Financial Studies · 2007 · 555 citations · Full text

, , +17

1–5 of 215

Authors

320

  1. AS
    Avanidhar Subrahmanyam

    University of California, Los Angeles, United States

    9 publications · 3.3K citations

    9

    h-index

  2. YA
    Yakov Amihud

    New York University, United States

    7 publications · 1.8K citations

    7

    h-index

  3. MJ
    Michael J. Brennan

    University of California, Los Angeles, United States

    7 publications · 3.1K citations

    7

    h-index

  4. FA
    Francis A. Longstaff

    University of California, Los Angeles, United States

    7 publications · 922 citations

    7

    h-index

  5. AA
    Andrew Ang

    BlackRock (United States), United States

    6 publications · 329 citations

    6

    h-index

1–5 of 320

Institutions

259

  1. National Bureau of Economic Research

    Cambridge, United States

    16 h-index

    28 publications

    6.5K citations

  2. New York University

    New York, United States

    13 h-index

    15 publications

    5.8K citations

  3. University of California, Los Angeles

    Los Angeles, United States

    13 h-index

    19 publications

    6.5K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    11 h-index

    13 publications

    7.6K citations

  5. National University of Singapore

    Singapore, Singapore

    9 h-index

    9 publications

    709 citations

  6. Copenhagen Business School

    Copenhagen, Denmark

    8 h-index

    8 publications

    968 citations

  7. Swiss Finance Institute

    Zurich, Switzerland

    7 h-index

    10 publications

    773 citations

  8. Columbia University

    New York, United States

    7 h-index

    11 publications

    1.5K citations

1–8 of 259

Venues

  1. SSRN Electronic Journal

    Repository · 64 publications · 4.4K citations

    27

    h-index

  2. The Journal of Finance

    10 publications · 2K citations

    10

    h-index

  3. Journal of Financial Economics

    8 publications · 6.3K citations

    8

    h-index

  4. Journal of Banking & Finance

    7 publications · 356 citations

    7

    h-index

  5. Review of Financial Studies

    7 publications · 1.3K citations

    7

    h-index

1–5