Stahel, Christof W. (contributor) - 2003 - [Elektronische Ressource]
aggregates. The second authors show that time-series
model innovations in average liquidity for mutually exclusive groups of … with the returns
from the US SMB and HML portfolios introduced by Fama and French (1993). To construct
innovations in … innovations in liquidity ULt := εt. This
approach is similar to the methods employed by Pastor and Stambaugh (2003) and Acharya …