| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13680 |
| DP13680 Liquidity Risk After 20 Years | |
| Luboš Pástor; Robert F. Stambaugh | |
| 发表日期 | 2019-04-16 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The Critical Finance Review commissioned Li, Novy-Marx, and Velikov (2017) and Pontiff and Singla (2019) to replicate the results in Pastor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium. In the sample period after our study, the liquidity risk premium estimates are even larger, and the liquidity measure displays sharp drops during the 2008 financial crisis. We respond to both replication studies and offer some related thoughts, such as when to use our traded versus non-traded liquidity factors and how to improve the precision of liquidity beta estimates. |
| 主题 | Financial Economics |
| 关键词 | Liquidity Liquidity risk Liquidity factor Liquidity beta |
| URL | https://cepr.org/publications/dp13680 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542539 |
| 推荐引用方式 GB/T 7714 | Luboš Pástor,Robert F. Stambaugh. DP13680 Liquidity Risk After 20 Years. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
