Time-Varying Liquidity and Momentum Profits
研究发现动量利润在流动性高的市场状态下显著更大，且这一现象不能用流动性风险、风险因子暴露或宏观经济条件等解释。市场整体非流动性对动量利润的预测能力优于市场收益和波动率状态。
A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceeds that of market return and market volatility states. While momentum strategies have been unconditionally unprofitable in the United States, in Japan, and in the Eurozone countries in the last decade, they are substantial following liquid market states.