Liquidity as an Investment Style

被引：40
|
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.
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页码：30 / 44
页数：15
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