Sell-order liquidity and the cross-section of expected stock returns

被引：55

作者：

Brennan, Michael J. ^{[1
,2
,3
]}

Chordia, Tarun ^{[4
]}

Subrahmanyam, Avanidhar ^{[1
]}

Tong, Qing ^{[5
]}

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA

[2] Manchester Business Sch, Manchester, Lancs, England

[3] King Abdulaziz Univ, Jeddah, Saudi Arabia

[4] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

[5] Singapore Management Univ, Singapore, Singapore

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2012年 / 105卷 / 03期

关键词：

Liquidity; Asset pricing; LARGE-BLOCK TRANSACTIONS; MARKET LIQUIDITY; ESTIMATION RISK; TRADES; BEHAVIOR; ILLIQUIDITY; INFORMATION; EQUILIBRIUM; COMMONALITY; INVENTORIES;

D O I：

10.1016/j.jfineco.2012.04.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that the average difference between sell and buy lambdas is generally positive throughout our sample period. Both buy and sell lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option implied volatility. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：523 / 541

页数：19

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