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Keywords: Liquidity and asset pricing
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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
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 203–221.
Published: 17 December 2019
... period. * I thank Haim Mendelson for helpful comments and suggestions and Di Wu for competent research assistance. © 2019 Yakov Amihud 2019 Yakov Amihud Licensed re-use rights only Liquidity and asset pricing Illiquidity measure Liquidity shocks Liquidity premium G10 G12...
