Turnover: Liquidity or Uncertainty?
研究发现换手率与流动性及流动性风险无关，而是通过总波动率风险因子预测未来收益，对理解换手率与收益负相关关系有重要价值。
I show that turnover is unrelated to several alternative measures of liquidity risk and in most cases negatively, not positively, related to liquidity. Consequently, neither liquidity nor liquidity risk explains why higher turnover predicts lower future returns. I find that the aggregate volatility risk factor explains why higher turnover predicts lower future returns. This paper shows that the negative relation between turnover and future returns is stronger for firms with option-like equity, and this regularity is also explained by the aggregate volatility risk factor. This paper was accepted by Wei Jiang, finance.