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Systematic Liquidity

Author

Listed:
  • Huberman, G.
  • Halka, D.

Abstract

Most of the market microstructure literature has focused on the liquidity of individual securities, whereas most of the asset pricing literature has focused on 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-based, nor the asymmetric information-based approach to liquidity explain the systematic, time-varying component of liquidity.

Suggested Citation

  • Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
    • Handle: RePEc:fth:colubu:99-9
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    PRICES ; INFORMATION ; RISK;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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