The risk components of liquidity

Research, Preprint English OPEN
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A.;
  • Publisher: Norwegian School of Economics and Business Administration. Department of Finance and Management Science
  • Journal: issn: 1500-4066
  • Publisher copyright policies & self-archiving
  • Subject: market microstructure | liquidity factors | liquidity risk | :Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213 [VDP] | :Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 [VDP] | Liquidity Risk; Liquidity Factors; Asset Pricing; Market Microstructure | asset pricing
    • jel: jel:G12 | jel:G14

Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, using more than a decade of US transaction data... View more
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