SYSTEMATIC LIQUIDITY
研究了流动性中存在的系统性、时变成分，发现现有库存模型和信息不对称模型均无法解释这一成分，对理解市场流动性和资产定价有重要意义。
Abstract Most of the market microstructure literature focuses on the liquidity of individual securities, whereas much of the asset pricing literature examines the association between systematic risk and return. We document the presence of a systematic, time‐varying component of liquidity. At the moment, neither the inventory nor the asymmetric information‐based approach to liquidity explains the systematic, time‐varying component of liquidity.