Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960555 | Journal of Financial Economics | 2008 | 28 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Robert A. Korajczyk, Ronnie Sadka,