Liquidity Risk and Expected Stock Returns

# Liquidity Risk and Expected Stock Returns > OpenAlex Metadata Hub · https://openalex.org/W3021190191 ## Bibliographic - **DOI:** 10.1086/374184 - **Year:** 2003 - **Citations:** 5640 - **Open Access:** No (closed) - **License:** — - **Source:** https://doi.org/10.1086/374184 ## Authors - Ľuboš Pástor - Robert F. Stambaugh ## Abstract This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 through 1999, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 percent annually, adjusted for exposures to the market return as well as size, value, and momentum factors. Furthermore, a liquidity risk factor accounts for half of the profits to a momentum strategy over the same 34-year period. ## Keywords Market liquidity, Capital asset pricing model, Economics, Stock (firearms), Liquidity risk, Econometrics, Liquidity crisis, Financial economics, Expected return, Monetary economics, Accounting liquidity ## Concepts - Market liquidity - Capital asset pricing model - Economics - Stock (firearms) - Liquidity risk - Econometrics - Liquidity crisis - Financial economics - Expected return - Monetary economics - Accounting liquidity - Mechanical engineering - Engineering - Portfolio --- *Metadata only — full text not imported unless Open Access license permits.*

Bài “Liquidity Risk and Expected Stock Returns” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex. Tóm lược học thuật (đã diễn giải): This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 through 1999, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 percent annually, adjusted for exposures to the market return as well as size, value, and momentum factors. Furthermore, a liquidity risk factor accounts for half of the profits to a momentum strategy over the same 34-year period. Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook. Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.