کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089346 | 1375590 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Economic valuation of liquidity timing
ترجمه فارسی عنوان
ارزیابی اقتصادی از زمان نقدشوندگی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on various liquidity measures to one that conditions on the Zeros measure (Lesmond et al., 1999); the Zeros measure outperforms other liquidity measures because of its robustness in extreme market conditions. These findings are stable over time and robust to controlling for existing market return predictors or considering risk-adjusted returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 37, Issue 12, December 2013, Pages 5073-5087
Journal: Journal of Banking & Finance - Volume 37, Issue 12, December 2013, Pages 5073-5087
نویسندگان
Dennis Karstanje, Elvira Sojli, Wing Wah Tham, Michel van der Wel,