Columbia Business School - Finance and Economics
affiliation not provided to SSRN
Journal of Financial Research
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
Date posted: March 21, 2001