Most of the market microstructure literature focuses on the liquidity of individual securities, whereas much of the asset pricing literature examines 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 nor the asymmetric information‐based approach to liquidity explains the systematic, time‐varying component of liquidity. JEL classification: G10, G12
No takes yet. Share an insight, caveat, or question.
Huberman et al. (2001) studied this question.
Synapse has enriched 4 closely related papers on similar clinical questions. Consider them for comparative context: