Abstract

http://ssrn.com/abstract=255116
 
 

Citations



 


 



Systematic Liquidity


Gur Huberman


Columbia Business School - Finance and Economics

Dominika Halka


affiliation not provided to SSRN


Journal of Financial Research

Abstract:     
Most of the market microstructure literature has focused on the liquidity of individual securities, whereas much of the asset pricing literature has examined 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, nor the asymmetric information-based approach to liquidity explains the systematic, time-varying component of liquidity.

JEL Classification: G10, G12

Accepted Paper Series


Not Available For Download

Date posted: March 21, 2001  

Suggested Citation

Huberman, Gur and Halka, Dominika, Systematic Liquidity. Journal of Financial Research. Available at SSRN: http://ssrn.com/abstract=255116

Contact Information

Gur Huberman (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States
(212) 854-5553 (Phone)

Dominika Halka
affiliation not provided to SSRN
Feedback to SSRN


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