Liquidity Shocks and Stock Market Reactions
研究发现股票市场对个股流动性冲击反应不足：流动性冲击不仅与同期收益正相关，还能预测未来六个月收益的持续。基于流动性冲击的多空组合每月产生0.70%至1.20%的显著收益，且投资者关注不足和低流动性是反应不足的原因。
We find that the stock market underreacts to stock-level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative shock measures and after controlling for risk factors and stock characteristics. Furthermore, we show that investor inattention and illiquidity contribute to the underreaction: while both are significant in explaining short-term return predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability.