Liquidity Risk and Expected Stock Returns

This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross‐sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual‐stoc...

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Veröffentlicht in:	The Journal of political economy 2003-06, Vol.111 (3), p.642-685
Hauptverfasser:	Pástor, Ľuboš, Stambaugh, Robert F.
Format:	Artikel
Sprache:	eng
Schlagworte:	Common stock Economic models Economic theory Expected returns Financial portfolios Investigations Investments Liquidation Liquidity Liquidity risk Market capitalization Order flow Political economy Price momentum Rates of return Risk Stock exchanges Stock prices Stock returns Stocks Studies
Online-Zugang:	Volltext
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