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Sell-order liquidity and the cross-section of expected stock returns

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  • Brennan, Michael J.
  • Chordia, Tarun
  • Subrahmanyam, Avanidhar
  • Tong, Qing

Abstract

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that the average difference between sell and buy lambdas is generally positive throughout our sample period. Both buy and sell lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option implied volatility.

Suggested Citation

  • Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
  • Handle: RePEc:eee:jfinec:v:105:y:2012:i:3:p:523-541
    DOI: 10.1016/j.jfineco.2012.04.006
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    More about this item

    Keywords

    Liquidity; Asset pricing;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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