The Cross Section Of Daily Variation In Liquidity
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The Cross Section Of Daily Variation In Liquidity
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Author : Tarun Chordia
language : en
Publisher:
Release Date : 2011
The Cross Section Of Daily Variation In Liquidity written by Tarun Chordia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
In this paper, we analyze cross-sectional heterogeneity in the time-series variation of liquidity. Average daily changes in liquidity exhibit significant heterogeneity in the cross-section; the liquidity of small firms varies more on a daily basis than that of large firms. A steady increase in aggregate market liquidity over the past decade is more strongly manifest in large firms than in small firms. We investigate cross-sectional differences in the resilience of a firm?s liquidity to information shocks. We use the sensitivity of stock liquidity to absolute stock returns as an inverse measure of this resilience, and find that the measure exhibits considerable cross-sectional variation. Firm size, return volatility, institutional holdings, and volume are all significant cross-sectional determinants of this measure.
The Divergence Of Liquidity Commonality In The Cross Section Of Stocks
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Author : Avraham Kamara
language : en
Publisher:
Release Date : 2018
The Divergence Of Liquidity Commonality In The Cross Section Of Stocks written by Avraham Kamara and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963-2005. The divergence of systematic liquidity can be explained by patterns in institutional ownership over the sample period. We document that our findings are associated with similar patterns in systematic risk, and have significant implications for expected returns. Our analysis also indicates that the ability to diversify return volatility and liquidity shocks by holding large-cap stocks has declined. The evidence, therefore, suggests that the fragility of the US equity market to unanticipated events has increased over the past few decades.
Stock Market Liquidity
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Author : François-Serge Lhabitant
language : en
Publisher: John Wiley & Sons
Release Date : 2008-01-09
Stock Market Liquidity written by François-Serge Lhabitant and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-09 with Business & Economics categories.
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Perspectives On Equity Indexing
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Author : Frank J. Fabozzi, CFA
language : en
Publisher: John Wiley & Sons
Release Date : 2000-06-15
Perspectives On Equity Indexing written by Frank J. Fabozzi, CFA and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-15 with Business & Economics categories.
This is the second edition of Professional Perspectives on Indexing. Contents include the active versus passive debate, Standard and Poor's U.S. equity indexes, medium and small capitalization indexing, global equity index families, investing in index mutual funds, and more.
The Empirical Analysis Of Liquidity
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Author : Craig Holden
language : en
Publisher: Now Publishers
Release Date : 2014-11-28
The Empirical Analysis Of Liquidity written by Craig Holden and has been published by Now Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-28 with Business & Economics categories.
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Consumption Liquidity And The Cross Sectional Variation Of Expected Returns
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Author : Elena Márquez de la Cruz
language : en
Publisher:
Release Date : 2010
Consumption Liquidity And The Cross Sectional Variation Of Expected Returns written by Elena Márquez de la Cruz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The Volatility Of Liquidity And Expected Stock Returns
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Author : Ferhat Akbas
language : en
Publisher:
Release Date : 2013
The Volatility Of Liquidity And Expected Stock Returns written by Ferhat Akbas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. Furthermore, we document that total volatility of liquidity is priced in the presence of systematic liquidity risk: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggregate liquidity, and the covariance of stock liquidity with the market return. The separate pricing of total volatility of liquidity indicates that idiosyncratic liquidity risk is important in the cross section of returns. This result is puzzling in light of Acharya and Pedersen (2005) who develop a model in which only systematic liquidity risk affects returns. The positive correlation between the volatility of liquidity and expected returns suggests that risk averse investors require a risk premium for holding stocks that have high variation in liquidity. Higher variation in liquidity implies that a stock may become illiquid with higher probability at a time when it is traded. This is important for investors who face an immediate liquidity need and are not able to wait for periods of high liquidity to sell. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/150946
Limit Order Book As A Market For Liquidity
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Author : Thierry Foucault
language : en
Publisher:
Release Date : 2001
Limit Order Book As A Market For Liquidity written by Thierry Foucault and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Liquidity (Economics) categories.
Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb
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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2006-04-18
Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-18 with Business & Economics categories.
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Liquidity And Expected Returns
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 2005
Liquidity And Expected Returns written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with International liquidity categories.
"Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively correlated with contemporaneous return shocks and negatively correlated with shocks to the dividend yield. We consider a simple asset pricing model with liquidity and the market portfolio as risk factors and transaction costs that are proportional to liquidity. The model differentiates between integrated and segmented countries and periods. Our results suggest that local market liquidity is an important driver of expected returns in emerging markets, and that the liberalization process has not eliminated its impact"--National Bureau of Economic Research web.