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- W1871480167 abstract "Liquidity is a multidimensional concept with most liquidity measures proxying for only one of the many facets. Using nine low-frequency liquidity proxies, this study calculates composite liquidity measures by extracting the commonality across liquidity dimensions. As a stock characteristic, composite liquidity is priced cross-sectionally and most individual measures are not priced in addition. While five-factor models that include the liquidity factors from Pastor and Stambaugh (2003) or Sadka (2006) are insufficient to explain the returns of composite liquidity sorted portfolios, a liquidity risk factor constructed as factor mimicking portfolio describes the distribution of composite liquidity sorted returns well. Between characteristics and risk, however, it is the characteristics that bear a stronger relation to returns rather than liquidity factor loadings." @default.
- W1871480167 created "2016-06-24" @default.
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- W1871480167 date "2012-01-01" @default.
- W1871480167 modified "2023-09-26" @default.
- W1871480167 title "Composite Liquidity: Characteristics and Risk" @default.
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- W1871480167 doi "https://doi.org/10.2139/ssrn.2160625" @default.
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