A Market-Based Funding Liquidity Measure

A Market-Based Funding Liquidity Measure

78 Pages · 2016 · 769 KB · English

Conference and PhD Forum, FDIC/JFSR Bank Research Conference, and the Kellogg finance baglunch for ing from stock returns, similar to the “betting against beta” (BAB) portfolio of Frazzini and. Pedersen a difference-in-BAB series isolates the aggregate funding liquidity shocks from the impact

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