Liquidity and Autocorrelations in Individual Stock Returns
发现股票短期反转与流动性不足密切相关，高换手低流动性股票的反转最大，但反向交易策略利润低于交易成本，表明短期反转对有效市场假说的违背并不严重。
ABSTRACT This paper documents a strong relationship between short‐run reversals and stock illiquidity, even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover, low liquidity stocks, as the price pressures caused by non‐informational demands for immediacy are accommodated. However, the contrarian trading strategy profits are smaller than the likely transactions costs. This lack of profitability and the fact that the overall findings are consistent with rational equilibrium paradigms suggest that the violation of the efficient market hypothesis due to short‐term reversals is not so egregious after all.