a. Why is price impact a measure of the illiquidity of a stock? How can we measure it? (7 marks) b. What is the Pastor-Stambaugh liquidity factor? How can a portfolio manager use it to measure the liquidity risk of a stock? (10 marks) c. You construct a long-short investment strategy that earns a positive and significant alpha with respect to a 4-factor model that includes the market risk premium, SMB, HML, and the momentum factor. When you add the Pastor-Stambaugh liquidity factor, the alpha your strategy decreases and becomes insignificant. What does this finding imply about the returns of your strategy? Explain. (8 marks)