Reversals and the Returns to Liquidity Provision
研究发现，流动性的不同方面对短期反转策略的表现有不同影响，高波动率导致更快更强的反转，低换手率导致更持久更强的反转，这些现象在美国以外市场也成立，并解释了文献中的一些矛盾结果。
Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster, initially stronger reversals, while lower turnover is associated with more persistent, ultimately stronger reversals. These facts also hold outside the US and explain several seemingly disparate results in the literature.