Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Articles Article Faculty Publications -Articles Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Pricing of liquidity risk in the indian stock market Subject The topic of the resource Capital asset pricing model; GMM; Liquidity; Liquidity beta; Liquidity innovations; Liquidity risk Description An account of the resource Empirical literature from developed stock markets identifies liquidity risk to have impacts on the price of a stock. Given this, using one-minute trade and quote data of fifty stocks constituting the NIFTY 50 Index, this study examines the pricing of liquidity risk in the Indian stock market. The study uses thirteen liquidity measures identified from literature that cover the cost, quantity, time and multidimensional aspects of liquidity. The innovations in the liquidity measures are considered as the proxy for liquidity risk. Employing Generalized Methods of Moments estimation, the study proves that Indian investors expect to have a premium for holding securities that are illiquid when the whole market is illiquid. It proves liquidity risk as a priced factor and thus validates the liquidity-adjusted capital asset pricing model in the Indian stock market. It cautions the investors that the liquidity shocks can have significant inferences on portfolio diversification strategies to be adopted. 2020 GEA College – Faculty of Entrepreneurship. All rights reserved. Creator An entity primarily responsible for making the resource Cheriyan N.K.; Lazar D. Source A related resource from which the described resource is derived Advances in Business Related Scientific Research Journal, Vol-11, No. 1, pp. 23-35. Publisher An entity responsible for making the resource available GEA College Faculty of Entrepreneurship Date A point or period of time associated with an event in the lifecycle of the resource 2020-01-01 Identifier An unambiguous reference to the resource within a given context <a href="" target="_blank" rel="noreferrer noopener"></a> <br /><br /><a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-85087211675&amp;partnerID=40&amp;md5=d4ff0c483291b9dd9de55581ef7682e7" target="_blank" rel="noreferrer noopener">https://www.scopus.com/inward/record.uri?eid=2-s2.0-85087211675&amp;partnerID=40&amp;md5=d4ff0c483291b9dd9de55581ef7682e7</a> Rights Information about rights held in and over the resource Restricted Access Relation A related resource ISSN: 1855931X Format The file format, physical medium, or dimensions of the resource Online Language A language of the resource English Type The nature or genre of the resource Article Coverage The spatial or temporal topic of the resource, the spatial applicability of the resource, or the jurisdiction under which the resource is relevant Cheriyan N.K., CHRIST, India; Lazar D., Pondicherry University, India