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Evaluating Systematic Liquidity Estimators
Federal Reserve Bank of St Louis. (Economics Research)
Aston Business School. (Department of economics)
Stockholm University, Faculty of Social Sciences, School of Business. (Finance)
Lund University. (Economics Department)
2010 (English)In: 2010 FMA Annual Meeting – Academic Paper Sessions, 2010Conference paper, Published paper (Other academic)
Abstract [en]

Empirical work investigating commonality in liquidity and systematic liquidity risk utilizes various different estimators of systematic liquidity. This paper is the first to compare and contrast such estimators.  We distinguish two classes of systematic liquidity estimators that both have many followers in the literature: (1) weighted average estimators based on concurrent liquidity shocks and (2) principal components estimators based on both concurrent and past liquidity shocks. Our results show that the simpler weighted average estimators perform at least as well as the more complex principal components estimators. This finding is robust across different evaluation criteria and different underlying liquidity measures.

Place, publisher, year, edition, pages
2010.
National Category
Business Administration
Research subject
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-43259OAI: oai:DiVA.org:su-43259DiVA: diva2:355093
Conference
Financial Management Association annual meeting 2010
Available from: 2010-10-05 Created: 2010-10-05 Last updated: 2011-01-25Bibliographically approved

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http://www.fma.org/NY/Papers/liquiditydynamics.pdf

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