Liquidity and Asset prices: An Empirical Investigation of the Nordic Stock Markets
提出了一个调整了流动性的简化单期资产定价模型，并在北欧市场（以芬兰为例）进行检验，发现流动性风险对预期收益的贡献大于市场风险，与美国的证据相反。
Abstract This paper presents a simplified single period asset‐pricing model adjusted for liquidity and tests it for the Nordic markets. The detailed empirical evidence is presented from Finnish test case. Empirical testing of small yet developed markets is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets. The main evidence reports liquidity risk makes sufficiently larger part of predicted factor risk premium than the market risk, contrary to comparable US evidence. This highlights the ability of liquidity related model betas in capturing the time variation in expected returns across illiquid (Nordic) markets than market beta.