Abstract

http://ssrn.com/abstract=943040
 
 

References (39)



 
 

Citations (24)



 


 



The Divergence of Liquidity Commonality in the Cross-Section of Stocks


Avraham Kamara


University of Washington - Michael G. Foster School of Business

Xiaoxia Lou


University of Delaware - Alfred Lerner College of Business and Economics

Ronnie Sadka


Boston College - Carroll School of Management

July 15, 2007


Abstract:     
This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963-2005. The divergence of systematic liquidity can be explained by patterns in institutional ownership over the sample period. We document that our findings are associated with similar patterns in systematic risk, and have significant implications for expected returns. Our analysis also indicates that the ability to diversify systematic risk and aggregate liquidity shocks by holding large-cap stocks has declined. The evidence, therefore, suggests that the fragility of the US equity market to unanticipated events has increased over the past few decades.

Number of Pages in PDF File: 52

Keywords: systematic liquidity, systematic risk, institutional investors, diversification

JEL Classification: G11, G14

working papers series


Download This Paper

Date posted: November 9, 2006  

Suggested Citation

Kamara, Avraham and Lou, Xiaoxia and Sadka, Ronnie, The Divergence of Liquidity Commonality in the Cross-Section of Stocks (July 15, 2007). Available at SSRN: http://ssrn.com/abstract=943040 or http://dx.doi.org/10.2139/ssrn.943040

Contact Information

Avraham Kamara
University of Washington - Michael G. Foster School of Business ( email )
Box 353200
Seattle, WA 98195-3200
United States
206-543-0652 (Phone)
206-221-6856 (Fax)
Xiaoxia Lou (Contact Author)
University of Delaware - Alfred Lerner College of Business and Economics ( email )
Newark, DE 19716
United States
Ronnie Sadka
Boston College - Carroll School of Management ( email )
140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
Feedback to SSRN


Paper statistics
Abstract Views: 2,115
Downloads: 637
Download Rank: 21,711
References:  39
Citations:  24

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.313 seconds