SYSTEMATIC LIQUIDITY

Gur Huberman · Dominika Halka

411 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

Abstract

Abstract Most 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

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1986Noise 2000Commonality in liquidity 1982Information, trade and common knowledge 1981Optimal dealer pricing under transactions and return uncertainty 2001Common factors in prices, order flows, and liquidity 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

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