Reversals and the Returns to Liquidity Provision
64 Pages Posted: 27 Jan 2023
There are 2 versions of this paper
Reversals and the Returns to Liquidity Provision
Number of pages: 64
Posted: 27 Jan 2023
You are currently viewing this paper
Downloads
488
Reversals and the Returns to Liquidity Provision
NBER Working Paper No. w30917
Number of pages: 65
Posted: 06 Feb 2023
Last Revised: 24 Jun 2023
Downloads
7
Date Written: January 26, 2023
Abstract
Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster, initially stronger reversals, while lower turnover is associated with more persistent, ultimately stronger reversals. These facts also hold outside the US and explain several seemingly disparate
results in the literature.
Keywords: Liquidity, reversals, momentum, volatility, turnover
JEL Classification: G10, G12
Suggested Citation: Suggested Citation
Dai, Wei and Medhat, Mamdouh and Novy-Marx, Robert and Rizova, Savina, Reversals and the Returns to Liquidity Provision (January 26, 2023). Available at SSRN: https://ssrn.com/abstract=4339591 or http://dx.doi.org/10.2139/ssrn.4339591
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.