Earnings and Liquidity Factors

36 Pages Posted: 23 Apr 2021

See all articles by Robert Snigaroff

Robert Snigaroff

Denali Advisors; Denali Advisors

David Wroblewski

Denali Advisors

Date Written: April 12, 2021

Abstract

A model with factors for earnings, liquidity, their respective growth, and the market can offer a consumption rationale with low pricing error. It also subsumes one-year momentum and momentum net of reversal, the factor commonly known as ‘momentum.’ These earnings and liquidity factors are all significant and combine for a model without factor redundancy. Motivated by investors’ ability to establish positions, we construct portfolios based on volume, and reconcile liquidity into reduced form characteristics-based factor models that compliment firm-based factors.

Keywords: Liquidity, Volume, Earnings, Earnings Growth, Liquidity Growth, Momentum, Factor Model

JEL Classification: G12

Suggested Citation

Snigaroff, Robert and Wroblewski, David, Earnings and Liquidity Factors (April 12, 2021). Quarterly Review of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3825213 or http://dx.doi.org/10.2139/ssrn.3825213

Robert Snigaroff (Contact Author)

Denali Advisors

CA
United States

Denali Advisors

CA
United States

David Wroblewski

Denali Advisors ( email )

4275 Executive Square
Suite 650
La Jolla, CA 92037
United States

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