Download This PaperResiliency and Stock Returns
The Review of Financial Studies, Volume 33, Issue 2, February 2020, Pages 747–782, https://doi.org/10.1093/rfs/hhz048
Baruch College Zicklin School of Business Research Paper No. 2018-08-02
74 Pages Posted: 18 Aug 2018 Last revised: 8 Sep 2020
Date Written: February 7, 2018
Abstract
We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The premium persists after accounting for an extensive list of other liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns, when micro-cap stocks are excluded, and for a sample of large cap stocks. The premium is particularly pronounced when trading volume is high.
Keywords: Stock Returns, Resiliency, Liquidity, Price Discovery, Asset Pricing
JEL Classification: G02, G10, G11, G12, G14
Suggested Citation: Suggested Citation
Jian Hua (Contact Author)
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )
17 Lexington Avenue
New York, NY 10010
United States
Lin Peng
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )
17 Lexington Avenue
New York, NY 10010
United States
Robert A. Schwartz
Baruch College - CUNY ( email )
Zicklin School of Business
17 Lexington Avenue
New York, NY 10010
United States
646-312-3467 (Phone)
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