کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960555 | 929497 | 2008 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing the commonality across alternative measures of liquidity
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We estimate latent factor models of liquidity, aggregated across various liquidity measures. Shocks to assets’ liquidity have a common component across measures which accounts for most of the explained variation in individual liquidity measures. We find 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. Our results are robust to the inclusion of other equity characteristics and risk factors, such as market capitalization, book-to-market, and momentum.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 87, Issue 1, January 2008, Pages 45–72
Journal: Journal of Financial Economics - Volume 87, Issue 1, January 2008, Pages 45–72
نویسندگان
Robert A. Korajczyk, Ronnie Sadka,