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Keywords: Illiquidity risk premium
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 127–171.
Published: 17 December 2019
...) sample. The correlation coefficient between ILLIQiy and In SIZEiy (SDRETiy) is −0.490 (0.015) over the out-of-sample period and −0.583 (0.152) over the full sample period. Liquidity and asset pricing Illiquidity risk premium Flight to liquidity G12...
Includes: Supplementary data
