The Diminishing Liquidity Premium
研究发现美国股票的特征流动性溢价在过去40年显著下降，近年来仅对最小型股票仍有显著定价作用，原因在于流动性改善和预期收益对流动性敏感度降低。
Abstract Stock liquidity has improved over the recent 4 decades. This improvement was accompanied by a dramatic increase in trading activity. The net effect on the liquidity premium is ambiguous. We show that the characteristic liquidity premium of U.S. stocks has significantly declined over the past 4 decades. In recent years, characteristic liquidity is significantly priced only for the smallest common stocks. This decline stems from an improvement in liquidity and from a lower sensitivity of expected returns to liquidity. By contrast, systematic liquidity has not been trending down and is still significantly priced primarily among NASDAQ stocks.