Time-Varying Liquidity Risk and the Cross Section of Stock Returns

被引：102
|
作者：
Watanabe, Akiko [2 ]
Watanabe, Masahiro [1 ]
机构：
[1] Rice Univ, Jones Grad Sch Management, Houston, TX 77005 USA
[2] Univ Alberta, Edmonton, AB T6G 2M7, Canada
来源：
REVIEW OF FINANCIAL STUDIES | 2008年 / 21卷 / 06期
关键词：
D O I：
10.1093/rfs/hhm054
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper studies whether stock returns' sensitivities to aggregate liquidity fluctuations and the pricing of liquidity risk vary over time. We find that liquidity betas vary across two distinct states: one with high liquidity betas and the other with low betas. The high liquidity-beta state is short lived and characterized by heavy trade, high volatility, and a wide cross-sectional dispersion in liquidity betas. It also delivers a disproportionately large liquidity risk premium, amounting to more than twice the value premium. Our results are consistent with a model of liquidity risk in which investors face uncertainty about their trading counterparties' preferences.
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页码：2449 / 2486
页数：38
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