Ľuboš Pástor
National Bureau of Economic Research
1 paper in the Anchorcite directory, published in 2003, cited 5,698 times in total.
ORCID profileResearch topics
- Financial Markets and Investment Strategies · 1 paper
- Housing Market and Economics · 1 paper
- Financial Literacy, Pension, Retirement Analysis · 1 paper
Frequent co-authors
- Robert F. Stambaugh · 1 paper
Papers
- Liquidity Risk and Expected Stock ReturnsJournal of Political Economy · 2003 · 5,698 citations
This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross‐sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of…
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