Pricing the commonality across alternative measures of liquidity

By Robert A. Korajczyk, Ronnie Sadka. 2008

597 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f670c3440f3e305b0e250c723e719229e4a35ff0

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Citations in the corpus

Do Liquidity Measures Measure Liquidity (2009, unknown): “Fujimoto (2003), Korajczyk and Sadka (2008) , Hasbrouck (2009), and others test the pricing of both spread and price impact measures in the US while Bekaert, Harvey, and Lundblad (2007) test the measures in emerging markets where liquidity concerns may be more pronounced.”
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, unknown): “This is as in Korajczyk and Sadka (2008) and yields two latent liquidity variables.15”
The diminishing liquidity premium (2015, methodology): “Recent studies (e.g., Pastor and Stambaugh (2003), Acharya and Pedersen (2005), Sadka (2006), Korajczyk and Sadka (2008)), and Charoenrook and Conrad (2008) have taken liquidity premia one step further and argued that liquidity is a priced risk factor.4 In this paper we argue that the sensitivity…”
The world price of liquidity risk (2011, unknown): “I find that market liquidity is persistent in most of the sample countries, consistent with US results in the literature (Pá stor and Stambaugh, 2003; Acharya and Pedersen, 2005; Korajczyk and Sadka, 2008).”
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market (2011, unknown): “…For derivative markets, the literature on liquidity is very scarce and often starts from a some- 1For the equity market, the pricing of liquidity risk has been studied by Amihud (2002), Acharya and Pedersen (2005), Pastor and Stambaugh (2003), and Korajczyk and Sadka (2008), amongst others.”
Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “8 See, for example, Pastor and Stambaugh (2003), Acharya and Pedersen (2005), Sadka (2006), Korajczyk and Sadka (2008), and Lee (2011).”
Understanding Commonality in Liquidity Around the World (2011, background): “Other studies find that a stock’s exposure to systematic liquidity risk and whether its liquidity dries up at inopportune times matter for investors (e.g., Pástor and Stambaugh, 2003; Acharya and Pedersen, 2005; Sadka, 2006; Korajczyk and Sadka, 2008; Lee, 2011).”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “For equities, P astor and Stambaugh (2003) investigated and confirmed that the market-wide liquidity is a priced state factor; Acharya and Pedersen (2005) proposed a liquidity-adjusted capital asset pricing model and empirically verified the impact of liquidity on asset returns; Sadka (2006) extende”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “We define shocks to these variables as the residuals from an AR(2) model, following Korajczyk and Sadka (2008) and Moskowitz and Pedersen (2012).17 The market liquidity variables are the on-the-run minus off-the-run 10-year government Treasury note spread (see Krishnamurthy (2002)) in each of the…”
Stock Price Synchronicity and Liquidity (2013, unknown): “One explanation for our findings is that stock price synchronicity reflects some firm characteristics being correlated with liquidity, other than firm size, institutional ownership and turnover that we control for in the regression analysis.”
Transparency and Liquidity Uncertainty in Crisis Periods (2011, methodology): “Following the procedure discussed in Lang et al. (2010), we combine two commonly used measures of earnings management: variability of net income relative to cash flows and correlation between accruals and cash flows (e.”
Intraday Patterns in the Cross-Section of Stock Returns (2010, background): “ent than those for returns in Figure 1. This is to be expected, 16 given what we know about volume (Lo and Wang (2006)), order imbalance (Sadka (2006)), volatility (Bollerslev (1986)), and liquidity (Korajczyk and Sadka (2008)). In particular, the coeﬃcients using levels of these variables are posit”
The effect of information quality on liquidity risk (2011, unknown): “Finally, it is important to highlight the difference between liquidity risk and liquidity (Acharya and Pedersen, 2005; Korajczyk and Sadka, 2008; Lou and Sadka, 3 The MKT, SMB, and HML factors are publicly available from Kenneth French’s website:…”