Systematic Liquidity

Gur Huberman and D. Halka

Working Papers from Columbia - Graduate School of Business

Abstract: 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.

Keywords: PRICES; INFORMATION; RISK (search for similar items in EconPapers)
JEL-codes: E30 (search for similar items in EconPapers)
Pages: 40 pages
Date: 1999
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Citations: View citations in EconPapers (31)

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Journal Article: SYSTEMATIC LIQUIDITY (2001)
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