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Prof. Lubos Pastor: Equilibrium Models vs. Intuition (EP.124)

The Rational Reminder Podcast

CHAPTER

Liquidity Risk and Stock Returns

This chapter explores the impact of liquidity risk on stock prices, highlighting how stocks with high price sensitivity to market-wide liquidity experience more significant price decreases during liquidity crises. The discussion also covers the predictiveness of liquidity betas and the absence of an ETF specifically targeting this liquidity factor, suggesting potential opportunities for investors.

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