Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

被引：39
|
作者：
Lou, Xiaoxia [1 ]
Sadka, Ronnie [2 ]
机构：
[1] Univ Delaware, Newark, DE 19716 USA
[2] Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02167 USA
来源：
FINANCIAL ANALYSTS JOURNAL | 2011年 / 67卷 / 03期
关键词：
STOCK RETURNS; TIME;
D O I：
10.2469/faj.v67.n3.5
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Although generally considered safe assets, liquid stocks underperformed illiquid stocks during the financial crisis of 2008-2009. The performance of stocks during the crisis can be better explained by their historical liquidity betas (risk) than by their historical liquidity levels. Stocks with different historical liquidity levels did not experience different returns after controlling for liquidity risk. The authors' findings highlight the importance of accounting for both liquidity level and liquidity risk in risk management applications.
引用
收藏
页码：51 / 62
页数：12
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