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Keywords: Liquidity factor
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2019) 8 (1-2): 277–299.
Published: 17 December 2019
... non-traded liquidity factors and how to improve the precision of liquidity beta estimates. Given the strong post-sample performance of our traded liquidity factor, it is not surprising that the factor’s full-sample performance in 1968 to 2015 is highly significant. In their Table 3, Li, Novy-Marx...
