Liquidity Risk and Expected Stock Returns
收藏NBER2001-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w8462
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资源简介：
This study investigates whether market-wide 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
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美国国家经济研究局创建时间：
2001-09-01
