Stock liquidity premium with stochastic price impact and exogenous trading strategy
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DOI: 10.1016/j.irfa.2019.04.008
Abstract: Abstract This paper provides a model which helps explain the variability of stock liquidity premium. Liquidity is modelled as a time-varying price impact and includes both permanent as well as temporary price impacts. Liquidity premium… read more here.
Keywords: liquidity premium; liquidity; stock; price impact ... See more keywords
Is Liquidity Risk Priced? Theory and Evidence
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DOI: 10.3390/su10061809
Abstract: This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the liquidity premium we utilize is defined as a function of a time discount factor, a relative risk aversion parameter, and the… read more here.
Keywords: liquidity premium; liquidity; risk; measure ... See more keywords