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Pricing the commonality across alternative measures of liquidity

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  • Korajczyk, Robert A.
  • Sadka, Ronnie

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  • Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
    • Handle: RePEc:eee:jfinec:v:87:y:2008:i:1:p:45-72
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    15. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
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