Liquidity components: Commonality in liquidity, underreaction, and equity returns
将公司层面的月度非流动性分解为alpha、系统性和特质性三个成分，发现投资者要求持有高系统性非流动性股票的溢价，但剔除小股票后该溢价消失；投资者对特质性流动性反应不足，高特质性流动性股票的年化风险调整收益比低特质性股票高7%。
I decompose firm-specific monthly-varying illiquidity into three components: (i) alpha, (ii) systematic, and (iii) idiosyncratic. Investors demand a premium to hold stocks with high systematic illiquidity. However, the systematic illiquidity premium disappears when very small stocks are excluded. On the other hand, investors tend to underreact to idiosyncratic (il)liquidity. Hence, stocks with high (low) idiosyncratic liquidity generate positive (negative) future risk-adjusted returns. More specifically, stocks in the highest idiosyncratic liquidity quintile generate 7% more annualized risk-adjusted return compared to stocks in the lowest idiosyncratic liquidity quintile.