Márquez, Elena; Doménech, Belén Nieto; Irigoyen, … - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2010
Recent papers in asset pricing have added a market-wide liquidity factor to traditional portfolio-based or factor models. However, none of these papers has reported any evidence on how aggregate liquidity behaves together with consumption growth risk. This paper covers this gap by providing a...