Liquidity as an Investment Style
论文提出流动性应与规模、价值/成长和动量并列，作为一种独立的投资风格。基于股票换手率衡量，流动性是长期回报的重要经济指标，其回报模式与其他风格显著不同，且流动性随时间相对稳定，变化与估值变化相关。
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.