Footnote:
In: Financial Analysts Journal, Vol. 69, No. 3, 2013
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 24, 2012 erstellt
Description:
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not merely a substitute for size, value, and/or momentum. Finally, we show that liquidity has historically been a relatively stable characteristic of stocks, and that changes in liquidity are associated with changes in valuations