Is liquidity risk still priced in the cross-section of US stocks?
- Type:
- Bachelor Thesis Business Administration
- Status:
- completed
- Tutor:
- Patrick Schwarz, M.Sc.
- Examiner:
Abstract
- Kenntnisse: Grundlagen der Statistik; Ökonometrie; grundsätzliches Verständnis von Anomalien und Liquidität
- Ziel: Es soll untersucht werden, ob "Liquiditätsrisiken" weiterhin im Querschnitt von Aktien bepreist werden.
Einführungsliteratur:
- Li, Hongtao; Novy-Marx, Robert; Velikov, Mihail (2019): Liquidity Risk and Asset Pricing, in: Critical Finance Review (1-2), 223–255.
- Pastor, Lubos; Stambaugh, Robert (2019): Liquidity Risk After 20 Years, in: National Bureau of Economic Research working paper.
- Pástor, Ľuboš; Stambaugh, Robert F. (2003): Liquidity Risk and Expected Stock Returns, in: Journal of Political Economy 111 (3), 642–685.
- Pontiff, Jeffrey; Singla, Rohit (2019): Liquidity Risk?, working paper.