Turnover: Liquidity or Uncertainty?

• 成果类型: Article
• 署名作者: Barinov, Alexander
• 署名单位: University System of Georgia; University of Georgia
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1913
• 发表日期: 2014
• 页码: 2478-2495
• 关键词: liquidity; idiosyncratic volatility; uncertainty; turnover; Aggregate volatility risk

摘要

I show that turnover is unrelated to several alternative measures of liquidity risk and in most cases negatively, not positively, related to liquidity. Consequently, neither liquidity nor liquidity risk explains why higher turnover predicts lower future returns. I find that the aggregate volatility risk factor explains why higher turnover predicts lower future returns. This paper shows that the negative relation between turnover and future returns is stronger for firms with option-like equity, and this regularity is also explained by the aggregate volatility risk factor.