Aufsatz(elektronisch)#1Juni 2001
SYSTEMATIC LIQUIDITY
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 24, Heft 2, S. 161-178
ISSN: 1475-6803
AbstractMost of the market microstructure literature focuses on the liquidity of individual securities, whereas much of the asset pricing literature examines the association between systematic risk and return. We document the presence of a systematic, time‐varying component of liquidity. At the moment, neither the inventory nor the asymmetric information‐based approach to liquidity explains the systematic, time‐varying component of liquidity.JEL classification: G10, G12
