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2019 Big Picture Chart
CRSP partners with Investments Illustrated, the leading financial illustration firm, to present a series of charts on long-run risk and return performance.
The 1926 starting point for historical data is a result of the initial study by Chicago Booth Professors Jim Lorie and Larry Fisher found in their seminal research paper Rates of Return on Investments in Common Stock. More information about the development of CRSP can found here.
Liquidity Risk After 20 Years
The Critical Finance Review commissioned Li, Novy-Marx, and Velikov (2017) and Pontiff and Singla (2019) to replicate the results in Pastor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium.