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- W3183264100 abstract "We evaluate the joint pricing of market volatility and market liquidity. Combining recent advances in continuous-time econometrics with no-arbitrage arguments, we extract novel proxies for market volatility and market illiquidity from a single time-series of high-frequency SPIDERS transaction prices. When considered individually, illiquidity and volatility shocks are shown to be strongly negatively correlated with market returns as well as with the returns on the size, book-to-market, and momentum portfolios. Shocks to illiquidity and shocks to volatility are found to be individually negatively priced. In joint specifications, shocks to volatility drive out shocks to illiquidity leading to a drastic reduction in the statistical significance of the illiquidity factor loadings. While innovations in illiquidity and innovations in volatility may still be jointly negatively priced, as is shown for our data, the factor loadings associated with volatility shocks provide a more accurate assessment of risk. When interpreting shocks to illiquidity and shocks to volatility as proxies for a more fundamental distress factor, this result is suggestive of the superior robustness of the latter." @default.
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- W3183264100 date "2008-01-01" @default.
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- W3183264100 title "The Joint Pricing of Volatility and Liquidity" @default.
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- W3183264100 doi "https://doi.org/10.2139/ssrn.1343882" @default.
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