Illiquidity and Stock Returns II: Cross-section and Time-series Effects

• 成果类型: Article
• 署名作者: Amihud, Yakov; Noh, Joonki
• 署名单位: New York University; University System of Ohio; Case Western Reserve University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa080
• 发表日期: 2021
• 页码: 2101
• 关键词: Market microstructure; trading volume; liquidity; RISK; equilibrium; investors; auctions; opinion; premium; COSTS

摘要

Lou and Shu decompose Amihud's illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seasonality. In addition, the aggregate market ILLIQ outperforms market IDVOL in estimating the effect of market illiquidity shocks on realized stock returns.