Time-Varying Liquidity Risk and the Cross Section of Stock Returns

• 成果类型: Article
• 署名作者: Watanabe, Akiko; Watanabe, Masahiro
• 署名单位: Rice University; University of Alberta
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm054
• 发表日期: 2008
• 页码: 2449
• 关键词: prices

摘要

This paper studies whether stock returns' sensitivities to aggregate liquidity fluctuations and the pricing of liquidity risk vary over time. We find that liquidity betas vary across two distinct states: one with high liquidity betas and the other with low betas. The high liquidity-beta state is short lived and characterized by heavy trade, high volatility, and a wide cross-sectional dispersion in liquidity betas. It also delivers a disproportionately large liquidity risk premium, amounting to more than twice the value premium. Our results are consistent with a model of liquidity risk in which investors face uncertainty about their trading counterparties' preferences.