Liquidity Shocks and Stock Market Reactions
The liquidity premium in equities, studied by Bali and co-authors in 2013. The abstract mentions excess returns and t-statistics but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more than 1% per month.”
AssetEquitiessingle stocks
StrategyLiquidity premium
ClaimExcess returnt-statistic
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodLiquidity premium by year
FamilyLiquidity premium19Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 983
AssetEquities15
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
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| Aggregate Liquidity Premium and Cross-Sectional Returns: Evidence from China by Liao et al. | 2020 | ||||
| Stock Liquidity Premium With Stochastic Price Impact and Exogeous Trading Strategy by Stereńczak | 2018 | ||||
| The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium by Amihud and Noh | 2016 |