Pastor and Stambaugh (2003) Liquidity Measure – Individual Stock
This post shows how to calculate the liquidity measure (gamma) of Pastor and Stambaugh (2003) using R code. For exposition purposes we use only two individual series : small firm index and ESG firm index. As expected, a PS liquidity measure for smal... Continue reading: Pastor and Stambaugh (2003) Liquidity Measure – Individual Stock
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