Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity

• 成果类型: Article
• 署名作者: Chen, Yong; Eaton, Gregory W.; Paye, Bradley S.
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; Oklahoma State University System; Oklahoma State University - Stillwater; Virginia Polytechnic Institute & State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.05.011
• 发表日期: 2018
• 页码: 48-73
• 关键词: Stock market liquidity; STOCK RETURN PREDICTABILITY; Macroeconomic forecasts; transaction costs; equity premium

摘要

This paper constructs and analyzes various measures of trading costs in US equity markets covering the period 1926-2015. These measures contain statistically and economically significant predictive signals for stock market returns and real economic activity. We decompose illiquidity proxies into a component capturing aggregate volatility and a residual. The predictive content of these components differs in important ways. Specifically, we find strong evidence that the component of illiquidity uncorrelated with volatility forecasts stock market returns. Both the volatility and residual components of illiquidity contain information regarding future economic activity. (C) 2018 Elsevier B.V. All rights reserved.