G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13680
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
URLhttps://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.
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