| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25774 |
| 来源ID | Working Paper 25774 |
| Liquidity Risk After 20 Years | |
| Lubos Pastor; Robert F. Stambaugh | |
| 发表日期 | 2019-04-29 |
| 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 Pástor 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 ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25774 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583448 |
| 推荐引用方式 GB/T 7714 | Lubos Pastor,Robert F. Stambaugh. Liquidity Risk After 20 Years. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25774.pdf（308KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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