We develop two investment strategy measures by investor type and explore their predictive capability on idiosyncratic volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently implements a “positive-feedback” or a...

Asset-pricing models with volume are challenged by the high turnover-rates in real stock markets. We develop an asset-pricing framework with heterogeneous risk preferences and show that liquidity and turnover increase with heterogeneity to a maximum, and then decline. With U.S. parameters,...