Stock and Bond Pricing with Liquidity Risk
“Under the model's restrictions, a 10 percentage points change in the stock illiquidity leads to 1.4% change in the risk free rate per year.”
AssetEquitiesbonds
StrategyLiquidity premiummomentum
TechniqueLinear factor model
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodLiquidity premium by year
FamilyLiquidity premium19Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 983
AssetEquities15
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Zero-Beta Decorrelation in Structural Liquidity Strategies: Theoretical Implications of a Decade-Spanning Empirical Anomaly by Boutgajouft | 2026 | ||||
| Aggregate Liquidity Premium and Cross-Sectional Returns: Evidence from China by Liao et al. | 2020 | ||||
| The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium by Amihud and Noh | 2016 | ||||
| Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia by Amanda and Husodo | 2014 | ||||
| Does the Liquidity Effect Exist in the Brazilian Stock Market? by Machado and de Medeiros | 2013 |