Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 25, 2021 erstellt
Beschreibung:
We find liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. We solve this empirical puzzle by emphasizing the asymmetrical impact of liquidity decrease and increase on expected returns. We find that including liquidity decrease can explain the negative premium of liquidity volatility. Further analyses show that the negative premium of liquidity volatility mainly comes from the downside liquidity volatility