FLoRA Replication Atlas › Browse

Liquidity Risk and Expected Stock Returns

Ľuboš Pástor, Robert F. Stambaugh

Journal of Political Economy, 2003. DOI 10.1086/374184

Has this study been replicated?

The atlas records 1 reproduction of this study. Recorded outcomes: 1 mixed.

Reproductions

• Liquidity Risk and Asset Pricing, Li et al. (2019). Critical Finance Review. Outcome recorded: computationally reproducible, robustness challenges. Computational: Pastor and Stambaugh's (PS 2003) aggregate liquidity innovations can be closely replicated, as can their traded factor based on historically estimated liquidity betas, which performs even stronger out of sample. Read from abstract. View paper

Cite this record

Pástor, Ľ., & Stambaugh, Robert F. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642–685. https://doi.org/10.1086/374184

Other studies in the atlas

• Expected stock returns and volatility
• Scale and skill in active management
• Household Allocation of Time and Church Attendance: Some Additional Evidence
• Household Allocation of Time and Religiosity: Replication and Extension
• Economics: An Emerging Small World
• International Migration, Self‐Selection, and the Distribution of Wages: Evidence from…

Failed replications · Successful replications · All browse pages