The pricing of systematic liquidity risk: Empirical evidence from the US stock market

By Rajna Gibson, N. Mougeot. 2004

112 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d9e66397ed176d8129104764badd9ec35f8cfd50

Citations in the corpus

• Time-Varying Liquidity Risk and the Cross Section of Stock Returns (2008, unknown): “Gibson and Mougeot (2004) document a significant positive effect of the experimental recession index on the aggregate liquidity risk premium in the stock market.11 If macroeconomic uncertainty is linked to preference uncertainty, for example through changes in investors’ risk aversion, variables…”
• The risk return tradeoff in the long run: 1836–2003 (2007, unknown): “Also, Acharya and Pedersen (2005), Amihud (2002), Pastor and Stambaugh (2003), and Gibson and Mougeot (2004) (among many others) document that aggregate equity market liquidity risk is priced, the latter exploring the role in a GARCH-M context.”