Systematic Liquidity

Posted: 21 Mar 2001  

Gur Huberman

Columbia Business School - Finance and Economics

Dominika Halka

affiliation not provided to SSRN

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

Suggested Citation

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

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

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