Liquidity Risk and Asset Pricing

By Ronnie Sadka. 2006

182 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/81eb40d0cfc1de3fb7a9df9191e34754bbd60544

Citations in the corpus

• Latent liquidity: A new measure of liquidity, with an application to corporate bonds ☆ (2008, unknown): “• Sadka, R. (2004): ”Liquidity Risk and Asset Pricing,” Working Paper, University of Washington.”
• Liquidity and Asset Prices (2005, unknown): “Sadka (2003) examines the pricing of liquidity risk in a factor model that includes the three Fama–French factors and a liquidity factor L, calculated as an average of the stocks’ permanent market impact”
• New low-frequency spread measures (2009, unknown): “Chordia et al. (2000), Sadka (2003), Acharya and Pedersen (2005), Fujimoto (2004), Hasbrouck (2009), and others show that in recent U.S. experience various liquidity measures vary systematically and are priced; Bekaert et al. (2007) provide similar evidence for emerging markets where liquidity…”
• Stock Market Declines and Liquidity (2010, unknown): “Sadka (2006) documents that the earnings momentum effect is partly due to higher liquidity risk.”
• Trading Costs and Returns for US Equities: The Evidence from Daily Data (2005, unknown): “Sadka (2004) estimates permanent and transitory trade impact coefficients in a dynamic framework similar to, but more comprehensive than the model given in Eq.”
• Episodic Liquidity Crises: Cooperative and Predatory Trading (2007, unknown): “Importantly, Sadka (2005) finds that the correlation between the temporary component and the permanent component is around 0.”
• The world price of liquidity risk (2011, unknown): “Liquidity has been shown to affect the cross-sectional differences of asset returns in the US market through two different channels, that is, as either a characteristic (Amihud and Mendelson, 1986; Brennan and Subrahmanyam, 1996; Amihud, 2002) or a risk factor (Pástor and Stambaugh, 2003; Acharya an”
• Liquidity and Expected Returns: Lessons from Emerging Markets (2007, unknown): “…Roll, and Subrahmanyam (2000) and Huberman and Halka (2001)), securities with returns positively correlated with market liquidity should have high expected returns (see Pastor and Stambaugh (2003), Sadka (2006), Goyenko (2005), and Martinez, Nieto, Rubio and Tapia (2005) for recent empirical work).”
• A Model of Capital and Crises (2012, unknown): “A number of recent papers have documented the existence of a priced liquidity risk factor (see Amihud, 2002; Acharya and Pedersen, 2005; Pastor and Stambaugh, 2003; and Sadka, 2006).”