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| Tekijä: | Korajczyk, R.A. Sadka, R. |
| Otsikko: | Pricing the commonality across alternative measures of liquidity |
| Lehti: | Journal of Financial Economics
2008 : JAN, VOL. 87:1, p. 45-72 |
| Asiasana: | liquidity pricing |
| Kieli: | eng |
| Tiivistelmä: | The study estimates latent factor models of liquidity, aggregated across various liquidity measures. Shocks to assetsÂ’ liquidity have a common component across measures which accounts for most of the explained variation in individual liquidity measures. It is found that across-measure systematic liquidity is a priced factor while within-measure systematic liquidity does not exhibit additional pricing information. Controlling for across-measure systematic liquidity risk, there is some evidence that liquidity, as a characteristic of assets, is priced in the cross-section. |
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