Pricing the commonality across alternative measures of liquidity
成果类型：
Article
署名作者：
Korajczyk, Robert A.; Sadka, Ronnie
署名单位：
University of Washington; University of Washington Seattle; Northwestern University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2006.12.003
发表日期：
2008
页码：
45-72
关键词：
摘要：
We estimate latent factor models of liquidity, aggregated across various liquidity measures. Shocks to assets' liquidity have a common component across measures which accounts for most of the explained variation in individual liquidity measures. We find that across-measure systematic liquidity is a priced factor while within-measure systematic liquidity does not exhibit additional pricing information. Controlling for across-measure systematic liquidity risk, there is some evidence that liquidity, as a characteristic of assets, is priced in the cross-section. Our results are robust to the inclusion of other equity characteristics and risk factors, such as market capitalization, book-to-market, and momentum. (c) 2007 Elsevier B.V. All rights reserved.
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