… is asset i's price impact coefficient, and T u r n o v e r i , t is the net number of shares
traded (… Buyer-initiated trades correspond to positive values of T u r n o v e r i , t and seller-initiated …

This paper investigates the components of liquidity risk that are important for understanding
asset-pricing anomalies. Firm-level liquidity is decomposed into variable and fixed price …

… Then, for each first principal component we apply an AR(2) model (coefficients R o1 and R
o2 along with t -statistics in brackets below). The 6-month and 12-month values of the impulse …

This paper demonstrates that liquidity risk as measured by the covariation of fund returns
with unexpected changes in aggregate liquidity is an important determinant in the cross-section …

This paper documents a close link between mispricing and liquidity by investigating stocks
with high analyst disagreement. Previous research finds that these stocks tend to be …

… the form r i , t =α k , t +γ k , t r i , t − k +u i , t are calculated for each month t and lag k, where r
i,… monthly returns on a stock, r i,t , in excess of the equally weighted market index return r t (4) …

This paper demonstrates that the cross-sectional variation of liquidity commonality has increased
over the period 1963–2005. The divergence of systematic liquidity can be explained by …

… Sadka (2006) introduced a different liquidity risk factor that was identified by using intraday
data. Sadka … Because the Sadka factor is nontraded, we did not use it in the calculation of …

… simple univariate cross-sectional regression of the form r i , t = α k , t + γ k , t r i , t − k + u i , t
. The variable r i , t is the return of stock i during interval t and the variable r i , t − k is the return …

… 2 of a time-series regression of firm return on the earnings risk factors (these are the
prewhitened PCs of earnings); and (2) the ratio of the latter R 2 to the R 2 computed from a …