Liquidity risk and expected stock returns

• 成果类型: Article
• 署名作者: Pástor, L; Stambaugh, RF
• 署名单位: University of Chicago; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/374184
• 发表日期: 2003
• 页码: 642-685
• 关键词: TRADING VOLUME; cross-section; equilibrium; illiquidity; EFFICIENCY; prices; COSTS

摘要

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.