Resiliency and Stock Returns

We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The premium persists after accounting for an extensive list of other liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns, when micro-cap stocks are excluded, and for a sample of large cap stocks. The premium is particularly pronounced when trading volume is high

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Year of publication:	2020
Authors:	Hua, Jian
Other Persons:	Peng, Lin (contributor) ; Schwartz, Robert A. (contributor) ; Alan, Nazli Sila (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Kapitalmarktrendite \| Capital market returns \| Coping-Strategie \| Coping strategy \| CAPM \| Handelsvolumen der Börse \| Trading volume \| Kapitaleinkommen \| Capital income \| Liquidität \| Liquidity

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