Nguyen, Duong; Puri, Tribhuvan N. - In: Applied financial economics 19 (2009) 10/12, pp. 853-868
In this article we examine whether the traditional characteristic liquidity premium can be explained by market … liquidity risk. We find that after adjusting for Pastor and Stambaugh market liquidity factor, the level of traditional … liquidity remains priced. Also, consistent with previous studies on market liquidity and asset pricing, we do not find stock …