Systematic Liquidity.

Most of the market microstructure literature has focused on the liquidity of individual securities, whereas most of the asset pricing literature has focused on 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-based, nor the asymmetric information-based approach to liquidity explain the systematic, time-varying component of liquidity.

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Year of publication:	1999
Authors:	Heberman, G. ; Halka, D.
Institutions:	Graduate School of Business, Columbia University
Subject:	PRICES \| INFORMATION \| RISK

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Series:	Columbia - Graduate School of Business.
Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	E30 - Prices, Business Fluctuations, and Cycles. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245478