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W190089389 abstract "This paper constructs a measure of pervasive liquidity risk and its associated risk premium. I examine seven market-wide liquidity proxies and use Principal Component analysis to extract the first principal component, which captures 62% of the standardized liquidity variance. The first common factor is rewarded with a significant premium in cross-sectional asset pricing tests. Moreover, from 1971 through" @default.
W190089389 created "2016-06-24" @default.
W190089389 creator A5048379858 @default.
W190089389 date "2005-01-01" @default.
W190089389 modified "2023-09-24" @default.
W190089389 title "Pervasive Liquidity Risk And Asset Pricing" @default.
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