Resiliency and Stock Returns

• 成果类型: Article
• 署名作者: Hua, Jian; Peng, Lin; Schwartz, Robert A.; Alan, Nazli Sila
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); Fairfield University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz048
• 发表日期: 2020
• 页码: 747
• 关键词: EARNINGS-ANNOUNCEMENT DRIFT; Bid-ask spread; cross-section; institutional investors; trading volume; MARKET; liquidity; RISK; INFORMATION; illiquidity

摘要

We present resiliency as a measure of liquidity and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency, and use it to find a significant nonresiliency premium that ranges from 33 to 57 basis points per month. The premium persists after accounting for an extensive list of other liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns, when micro-cap stocks are excluded, and for a sample of large cap stocks. The premium is particularly pronounced when trading volume is high.