Illiquidity and Stock Returns II: Cross-section and Time-series Effects
指出Lou和Shu对Amihud非流动性指标的分解遗漏了一个与非流动性相关的成分，该成分显著影响股票收益的横截面和时间序列，且整体非流动性指标优于其子成分。
Abstract Lou and Shu decompose Amihud’s illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seasonality. In addition, the aggregate market ILLIQ outperforms market IDVOL in estimating the effect of market illiquidity shocks on realized stock returns.