The Risk Components of Liquidity

Research, Preprint OPEN
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A.;
  • Publisher: Norwegian School of Economics and Business Administration. Department of Finance and Management Science
  • Subject: market microstructure | liquidity factors | liquidity risk | asset pricing | Liquidity Risk; Liquidity Factors; Asset Pricing; Market Microstructure
    • 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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