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Liquidity risk after 20 years

Author: Luboš Pástor; Robert F Stambaugh; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2019.
Series: Working paper series (National Bureau of Economic Research), no. 25774.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Luboš Pástor; Robert F Stambaugh; National Bureau of Economic Research,
OCLC Number: 1099478630
Notes: "April 2019"
Description: 1 online resource (21 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 25774.
Other Titles: Liquidity risk after twenty years
Responsibility: Luboš Pástor, Robert F. Stambaugh.

Abstract:

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.

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