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Liquidity Risk After 20 Years / Lubos Pastor, Robert F. Stambaugh.
- Format:
- Book
- Author/Creator:
- Pastor, Lubos.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25774.
- NBER working paper series no. w25774
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- 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 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.
- Notes:
- Print version record
- April 2019.
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