Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5088702 | Journal of Banking & Finance | 2015 | 14 Pages |
Abstract
The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation between variability of trading activity and future abnormal returns. I find that variability of other measures of liquidity and liquidity risk is largely unrelated to expected returns. Lastly, I show that the low returns to firms with high variability of trading activity are not explained by liquidity risk or mispricing theories.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alexander Barinov,