Sell-order liquidity and the cross-section of expected stock returns

• 成果类型: Article
• 署名作者: Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar; Tong, Qing
• 署名单位: University of California System; University of California Los Angeles; University of Manchester; King Abdulaziz University; Emory University; Singapore Management University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.04.006
• 发表日期: 2012
• 页码: 523-541
• 关键词: liquidity; asset pricing

摘要

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that the average difference between sell and buy lambdas is generally positive throughout our sample period. Both buy and sell lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option implied volatility. (C) 2012 Elsevier B.V. All rights reserved.