Citation

Discussion Paper Details

Please find the details for DP13680 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Liquidity Risk After 20 Years

Author(s): Lubos Pástor and Robert F. Stambaugh

Publication Date: April 2019

Keyword(s): liquidity, liquidity beta, liquidity factor and liquidity risk

Programme Area(s): Financial Economics

Abstract: The Critical Finance Review commissioned Li, Novy-Marx, and Velikov (2017) and Pontiff and Singla (2019) to replicate the results in Pastor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium. In the sample period after our study, the liquidity risk premium estimates are even larger, and the liquidity measure displays sharp drops during the 2008 financial crisis. We respond to both replication studies and offer some related thoughts, such as when to use our traded versus non-traded liquidity factors and how to improve the precision of liquidity beta estimates.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=13680

Bibliographic Reference

Pástor, L and Stambaugh, R. 2019. 'Liquidity Risk After 20 Years'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=13680