Liquidity as an Investment Style

被引：45

作者：

Ibbotson, Roger G. ^{[1
,2
]}

Chen, Zhiwu ^{[1
]}

Kim, Daniel Y. -J. ^{[2
]}

Hu, Wendy Y. ^{[3
]}

机构：

[1] Yale Sch Management, New Haven, CT USA

[2] Zebra Capital Management, LLC, Milford, MA USA

[3] Permal Asset Management Inc, New York, NY USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2013年 / 69卷 / 03期

关键词：

CROSS-SECTION; TRADING VOLUME; STOCK RETURNS; ILLIQUIDITY; PERFORMANCE;

D O I：

10.2469/faj.v69.n3.4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Liquidity should be given equal standing with size, value/growth, and momentum as an investment style. As measured by stock turnover, liquidity is an economically significant indicator of long-run returns. The returns of liquidity are sufficiently different from those of the other styles that it is not merely a substitute. Finally, a stock's liquidity is relatively stable over time, with changes in liquidity associated with changes in valuation.

引用

页码：30 / 44

页数：15

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