Stock market liquidity and macroeconomic predictability
We investigate if liquidity risk is priced in the market from a macroeconomic perspective. We perform correlation and multi-regression analysis between the liquidity factors and the macroeconomic factors. The liquidity measures used are Pastor and Stambaugh's levels of aggregate liquidity, inno...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51399 |