Liquidity risk, not level, drives stock performance during financial crises.
The study looked at how stock liquidity affected stock performance during the 2008-2009 crisis. Previous research suggested that liquidity risk, not just the level of liquidity, influenced stock performance. The researchers used a new measure of illiquidity based on price changes to reexamine this idea. Their findings showed that both the level of liquidity and liquidity risk play a role in stock performance during a crisis, suggesting they are both important factors to consider.