search query: @freeterm Systematic liquidity risk / total: 1
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| Author: | Gibson, R. Mougeot, N. |
| Title: | The pricing of systematic liquidity risk: empirical evidence from the US stock market |
| Journal: | Journal of Banking and Finance
2004 : JAN, VOL. 28:1, p. 157-178 |
| Index terms: | Equity capital Stock markets Risk management |
| Freeterms: | Bivariate Garch Equity risk premium Systematic liquidity risk |
| Language: | eng |
| Abstract: | The authors examine whether aggregate market liquidity risk is priced in the US stock market, The findings suggest that systematic liquidity risk is priced in the US over the period 1973-97. The liquidity premium presents a nonnegligible, negative and time-varying component of the total market risk premium whose magnitude is not influenced by the October'87 Crash. |
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