We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk index and, within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds post-time-period returns that are higher and...

This study examines the Pastor-Stambaugh liquidity-augmented four-factor model to revisit whether the marketwide liquidity is indeed a state variable important for asset pricing in the U.S. equity market over the period 1/1966-12/1999. The study applies the Lewellen et al. (2010) two-pass...

Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits and lending out long-term loans, thus allowing a maturity mismatch between assets and liabilities. At some point the long-term loans will require refinancing and the institution...

We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity risk is defined as the risk that a security or a...