Release Notes Most Viewed Guides CRSP in Action

Includes data definitions, calculations, methodologies, and more.

Includes data definitions, link information, access functions, and cross reference information

Includes installation, data access, and tool usage

Includes file formats, data definitions and calculations. 

Liquidity Risk After 20 Years

Chicago Booth Research Paper No. 19-13

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.

Uncertainty about What's in the Price

Business school in Fontainebleau, INSEAD, HEC Paris

Speculators face uncertainty about which signals are already reflected in the price.

Announcements

Methodology Guide Updated January 2019

The January  2019 refresh of the Methodology Guide is now available. 

 

Upcoming Conference Schedule

CRSP will be attending and exhibiting at the following conferences. Please come by our booth and say hello!