Stock Liquidity Risk and the Cross‐sectional Earnings‐Returns Relationship
研究发现股票对市场流动性冲击的敏感度（流动性风险）越高，其价格越容易回归基本面，且这种效应在盈余-收益关系中表现为正向调节，与流动性水平的影响相反，并在市场流动性中性或低时更显著。
Abstract We argue that a higher sensitivity to aggregate market‐wide liquidity shocks (i.e., a higher liquidity risk) implies a tendency for a stock's price to converge to fundamentals. We test this intuition within the framework of the earnings‐returns relationship. We find a positive liquidity risk effect on the relationship between return and expected change in earnings. This effect on the earnings‐returns relationship is distinct from the negative effect observed for stock illiquidity level. Notably, the liquidity risk effect is evident (absent) during periods of neutral/low (high) aggregate market liquidity. We also show that the liquidity risk effect is dominant in firms that: (a) are of intermediate size; (b) are of intermediate book‐to‐market; and (c) are profit making.