The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Liquidity Risk and Expected Stock Returns
Abstract
This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross‐sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual‐stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 through 1999, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 percent annually, adjusted for exposures to the market return as well as size, value, and momentum factors. Furthermore, a liquidity risk factor accounts for half of the profits to a momentum strategy over the same 34‐year period.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Cited by
A five-factor asset pricing model
Fama, E. F., & French, K. R. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.10.010 · Cited by 7,852
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
Accounting Information, Disclosure, and the Cost of Capital
LAMBERT, R., LEUZ, C., & VERRECCHIA, R. E. (2007) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2007.00238.x · Cited by 2,586
Sustainable investing in equilibrium
Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021) · Journal of Financial Economics · doi:10.1016/j.jfineco.2020.12.011 · Cited by 2,226
Self-citation… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Metadata
- Authors
- Pástor, Ľ., & Stambaugh, R. F.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2003-06
- Volume
- 111
- Issue
- 3
- Pages
- 642-685
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W3021190191
- Cited by
- 5,339
- References
- 2
- FWCI
- 130.28
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
