Asset Pricing with Downside Liquidity Risks
研究下行流动性风险（股票流动性对市场负收益的敏感度）对预期资产收益的影响，发现其溢价是对称情形的10倍，且在小盘、低流动性、高波动和高账面市值比股票中更高。
We develop a parsimonious liquidity-adjusted downside capital asset pricing model to investigate whether phenomena such as downward liquidity spirals and flights to liquidity impact expected asset returns. We find strong empirical support for the model. Downside liquidity risk (sensitivity of stock liquidity to negative market returns) has an economically meaningful return premium that is 10 times larger than its symmetric analogue. The expected liquidity level and downside market risk are also associated with meaningful return premiums. Downside liquidity risk and its associated premium are higher during periods of low marketwide liquidity and for stocks that are relatively small, illiquid, volatile, and have high book-to-market ratios. These results are consistent with investors requiring compensation for holding assets susceptible to adverse liquidity phenomena. Our findings suggest that mitigation of downside liquidity risk can lower firms’ cost of capital. This paper was accepted by Lauren Cohen, finance.