Nematrian Reference Library
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| Reference | Title | Link |
| Novy-Marx, R. (2004) | On the Excess Returns to Illiquidity | |
Abstract
"This paper argues that the high expected returns observed on illiquid assets should be expected theoretically, but are not actually a premium for illiquidity, per se. Instead, illiquidity, like size, is a proxy for any unobserved risk. Liquidity should therefore have explanatory power in any asset pricing model that is not perfectly specified, with low measured liquidity forecasting high expected returns." |
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