Time-Varying Liquidity Risk and the Cross Section of Stock Returns
研究股票收益对总体流动性波动的敏感度（流动性贝塔）及其定价是否随时间变化。发现流动性贝塔存在高、低两种状态，高贝塔状态短暂但流动性风险溢价巨大，超过价值溢价的两倍。
This paper studies whether stock returns' sensitivities to aggregate liquidity fluctuations and the pricing of liquidity risk vary over time. We find that liquidity betas vary across two distinct states: one with high liquidity betas and the other with low betas. The high liquidity-beta state is short lived and characterized by heavy trade, high volatility, and a wide cross-sectional dispersion in liquidity betas. It also delivers a disproportionately large liquidity risk premium, amounting to more than twice the value premium. Our results are consistent with a model of liquidity risk in which investors face uncertainty about their trading counterparties' preferences. The Author 2007. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org., Oxford University Press.