NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Liquidity Risk After 20 Years

Lubos Pastor, Robert F. Stambaugh

NBER Working Paper No. 25774
Issued in April 2019

---- Acknowledgments ----

The views in this paper are the responsibility of the authors, not the institutions with which they are affiliated, nor of the National Bureau of Economic Research. For helpful comments, we thank Doug Diamond, Ralph Koijen, Stefan Nagel, Robert Novy-Marx, Jeff Pontiff, Jeff Russell, Rob Vishny, and the seminar audience at the University of Chicago. We are also grateful to the Fama-Miller Center for Research in Finance and the Center for Research in Security Prices, both at Chicago Booth, for research support.

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