Liquidity
作者： Richard G. Anderson , Jane M. Binner , Björn Hagströmer , Birger Nilsson
DOI: 10.1016/B978-0-12-802205-4.00012-9
关键词:
摘要: Empirical work investigating commonality in liquidity and systematic risk utilizes various different estimators of liquidity. This chapter is the first to compare contrast such estimators. We distinguish two classes that both have many followers literature: (1) weighted average based on concurrent shocks (2) principal components past shocks. Our results show simpler perform at least as well more complex finding robust across evaluation criteria underlying measures.
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