Mayston, Daniel (contributor) - 2006
studies examined the relation between the level of
liquidity and expected stock returns (see Amihud and Mendelson (1986 … Amihud (2002)). The next
generation of studies focused on the pricing of liquidity risk as opposed to the
level alone. They … include P´astor and Stambaugh (2003), Gibson and Mougeot
(2004) and Acharya and Pedersen (2005). Together these studies …