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Based on the asymmetric distribution and extreme distribution of liquidity, we construct the third-moment and the fourth-moment of liquidity to measure the downside liquidity risk and extreme liquidity risk respectively, and study the liquidity premium through high-moment measures. The results...
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Considering the serious negative impact of crisis events on stock liquidity, we construct the liquidity skewness to depict the asymmetric distribution of liquidity, which is drawn inspiration from the idea of higher moment in statistics, to measure the downside liquidity risk. Our study focuses...
Persistent link: https://www.econbiz.de/10014352692
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