Stock Returns and the Volatility of Liquidity
提出一个理性解释，说明为何股票收益会随流动性波动性增加而下降，通过模型和实证证据表明理性投资者可通过调整交易策略应对流动性变化。
Abstract This paper offers a rational explanation for the puzzling empirical fact that stock returns decrease with an increase in the volatility of liquidity. We model liquidity as a stochastic price impact process and define the liquidity premium as the additional return necessary to compensate a multiperiod investor for the adverse price impact of trading. The model demonstrates that a fully rational, utility maximizing, risk-averse investor can take advantage of time-varying liquidity by adapting his trades to the state of liquidity. We provide new empirical evidence supportive of the model.