Turnover: Liquidity or Uncertainty?

Alexander Barinov ()
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Alexander Barinov: Terry College of Business, University of Georgia, Athens, Georgia 30602

Management Science, 2014, vol. 60, issue 10, 2478-2495

Abstract: I show that turnover is unrelated to several alternative measures of liquidity risk and in most cases negatively, not positively, related to liquidity. Consequently, neither liquidity nor liquidity risk explains why higher turnover predicts lower future returns. I find that the aggregate volatility risk factor explains why higher turnover predicts lower future returns. This paper shows that the negative relation between turnover and future returns is stronger for firms with option-like equity, and this regularity is also explained by the aggregate volatility risk factor. This paper was accepted by Wei Jiang, finance.

Keywords: liquidity; idiosyncratic volatility; uncertainty; turnover; aggregate volatility risk (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:60:y:2014:i:10:p:2478-2495

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