Has the U.S. Stock Market Become More Vulnerable over Time?

被引：8

作者：

Kamara, Avraham ^{[1
]}

Lou, Xiaoxia ^{[2
]}

Sadka, Ronnie ^{[3
]}

机构：

[1] Univ Washington, Seattle, WA 98195 USA

[2] Univ Delaware, Newark, DE USA

[3] Boston Coll, Chestnut Hill, MA 02167 USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2010年 / 66卷 / 01期

关键词：

CROSS-SECTION; LIQUIDITY; COMMONALITY; RISK; SERIES;

D O I：

10.2469/faj.v66.n1.4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study demonstrates that the cross-sectional variation of systematic risk and systematic liquidity has increased from 1963 to 2008. Both have increased significantly for large-capitalization companies but have declined significantly for small-cap companies. These findings have several implications for investment managers, including the declining ability to diversify return volatilities and liquidity shocks by holding liquid, large-cap stocks. The findings suggest that the vulnerability of the U.S. equity market to unanticipated events has increased over the past few decades.

引用

页码：41 / 52

页数：12

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