Liquidity Risk and Expected Stock Returns-英文文献.pdfVIP

Liquidity Risk and Expected Stock Returns by* · Lubo·s P¶astor and Robert F. Stambaugh First draft: July 13, 2001 This revision: July 11, 2002 Abstract This study investigates whether market-wide liquidity is a state variable important for asset pricing. We ¯nd that expected stock returns are related cross-sectionally to the sensitivities of returns to °uctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order °ow induces greater return reversals when liquidity is lower. Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5% annually, adjusted for exposures to the market return as well as size, value, and momentum factors. JEL Classi¯cation: G12 Keywords: asset pricing, liquidity risk, expected returns * Graduate School of Business, University of Chicago, NBER, and CEPR (P¶astor) and the Wharton School, University of Pennsylvania and NBER (Stambaugh). Research support from the Center for Research in Security Prices and the James S. Kemper Faculty Research Fund at the Graduate School of Business, University of Chicago is gratefully acknowledged (P¶astor). We are grateful for comments from Nick Barberis, John Campbell, Tarun Chordia, John Cochrane (the editor), George Constantinides, Doug Diamond, Andrea Eisfeldt, Gene Fama, Simon Gervais, David Goldr