Earnings and liquidity factors

Robert Snigaroff and David Wroblewski

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 508-523

Abstract: A model with factors for earnings, liquidity, their respective growth, and the market can offer a consumption rationale with low pricing error. It also subsumes one-year momentum and momentum net of reversal, the factor commonly known as ‘momentum.’ These earnings and liquidity factors are all significant and combine for a model without factor redundancy. Motivated by investors’ ability to establish positions, we construct portfolios based on volume, and reconcile liquidity into reduced form characteristics-based factor models that compliment firm-based factors.

Keywords: Earnings; Liquidity; Volume; Momentum; Size; Value (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:508-523

DOI: 10.1016/j.qref.2021.03.011

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