No image available for this title

Text

Liquidity shocks and stock market reactions

We find that the stock market underreacts to stock-level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative shock measures and after controlling for risk factors and stock characteristics. Furthermore, we show that investor inattention and illiquidity contribute to the underreaction: while both are significant in explaining short-term return predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability. .Printed Journal, baca ditempat

Ketersediaan

Call NumberLocationAvailable
TRFS2705PSB lt.dasar - Pascasarjana1
Penerbit The Society of Financial Studies.,
Edisi -
Subjek Asset pricing
Investment decisions
Estimation
Trading volume
Portfolio Choice
Event studies
Bond interest rates
Information and market efficiency
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
Lampiran Berkas Tidak Ada Data