Liquidity shocks and the negative premium of liquidity volatility around the world
研究发现全球市场中流动性波动率与股票收益负相关，原因在于高波动率股票常伴随流动性下降，导致平均收益降低。对研究资产定价和流动性风险的学者有参考价值。
We find that liquidity volatility negatively affects stock returns across international markets. This association remains consistent across various liquidity metrics and cannot be attributed to the influence of idiosyncratic volatility. Further analysis shows that the omitted liquidity decrease variable is the key driver of the negative premium of liquidity volatility. Considering the asymmetrical impact of liquidity decrease and increase on future stock returns, stocks displaying high liquidity volatility tend to experience significant liquidity decreases, which lead to lower average returns. Once the liquidity decrease is integrated into the pricing model, the negative return premium of liquidity volatility dissipates. Subsequent analysis underscores that the effect of liquidity decrease on returns is more pronounced in markets and periods characterized by diminished efficiency and heightened arbitrage costs.