Abstract

http://ssrn.com/abstract=1817889
 
 

Citations (4)



 


 



Liquidity as an Investment Style


Roger G. Ibbotson


Yale School of Management; Zebra Capital Management, LLC

Zhiwu Chen


Yale University - International Center for Finance; Zebra Capital Management, LLC

Daniel Y.-J. Kim


Zebra Capital Management, LLC

Wendy Yunchun Hu


Zebra Capital Management, LLC

August 24, 2012

Financial Analysts Journal, Vol. 69, No. 3, 2013

Abstract:     
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not merely a substitute for size, value, and/or momentum. Finally, we show that liquidity has historically been a relatively stable characteristic of stocks, and that changes in liquidity are associated with changes in valuations.

Number of Pages in PDF File: 34

Keywords: liquidity, investment style, size, value, momentum, turnover, stock returns, factors, Sharpe

JEL Classification: A23, D40, D46, D50, D51, D52, D59, D80, D81, D83, D84, D89, G10, G11, G12, G14, G18, G19, G23, G24

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Date posted: April 24, 2011 ; Last revised: May 24, 2013

Suggested Citation

Ibbotson, Roger G. and Chen, Zhiwu and Kim, Daniel Y.-J. and Hu, Wendy Yunchun, Liquidity as an Investment Style (August 24, 2012). Financial Analysts Journal, Vol. 69, No. 3, 2013. Available at SSRN: http://ssrn.com/abstract=1817889 or http://dx.doi.org/10.2139/ssrn.1817889

Contact Information

Roger G. Ibbotson (Contact Author)
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
Zhiwu Chen
Yale University - International Center for Finance ( email )
Box 208200
New Haven, CT 06520-8200
United States
203-432-5948 (Phone)
203-432-6970 (Fax)
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
Daniel Young-joon Kim
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
+12038783223 (Phone)
HOME PAGE: http://zebracapital.com
Wendy Yunchun Hu
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
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