Liquidity risk and expected stock returns¶
Pástor, Ľ., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685.
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Primes¶
- Liquidity
- Liquidity premium (the extra yield demanded for illiquid assets) is foundational to asset pricing: Pástor and Stambaugh (2003) showed empirically that aggregate liquidity is a priced state variable in U.S. equity markets, with stocks more sensitive to market-wide liquidity shocks earning measurably higher average returns.
This sourceEmpirical demonstration that aggregate liquidity is a priced state variable in U.S. equity markets, with stocks more sensitive to market-wide liquidity shocks earning higher average returns.
- Liquidity premium (the extra yield demanded for illiquid assets) is foundational to asset pricing: Pástor and Stambaugh (2003) showed empirically that aggregate liquidity is a priced state variable in U.S. equity markets, with stocks more sensitive to market-wide liquidity shocks earning measurably higher average returns.
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