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The Variation of Liquidity Risk Premium

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Authors
Lee, Kuan-Hui
Issue Date
2017-12
Publisher
College of Business Administration (경영대학)
Citation
Seoul Journal of Business, Vol.23 No.2, pp. 1-21
Keywords
LiquidityLiquidity riskLiquidity risk premiumLiquidity shock
Abstract
New liquidity measure, based on trading volume induced by order flow as in Pastor and Stambaugh (2002) but estimated with turnover rather than with absolute level of dollar volume, is introduced and analyzed in this paper. Aggregate liquidity measures are found to well track the history of market liquidity problems. However, market price of liquidity risk, estimated as a coefficient of liquidity shock, does not show any systematic timeseries behavior so we could not find the variables which have significant explanatory power for liquidity risk premium. [ABSTRACT FROM AUTHOR] Copyright of Seoul Journal of Business is the property of Seoul National University, College of Business Administration and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
ISSN
1226-9816
Language
English
URI
https://hdl.handle.net/10371/168271
DOI
https://doi.org/10.35152/snusjb.2017.23.2.001
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Seoul Journal of Business (SJB)Seoul Journal of Business Volume 23, Number 1/2 (2017)
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