AbstractMost 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.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number 99-9.
Length: 40 pages
Date of creation: 1999
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- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
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