SSRNTrading, Microstructure & Execution
The Pricing of Liquidity Risk Factors
The research investigates the pricing of liquidity factors in the US stock market, demonstrating that models with a liquidity factor outperform those with a size factor.
Featured in No. 43 on 3 Apr 2024 · 4 days after release · 1 citation today
- Released
- 30 Mar 2024
- First featured
- No. 43 · 3 Apr 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 5
- Identifier
- SSRN 4779075
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).