The Liquidity Uncertainty Premium Puzzle
研究发现流动性不确定性与股票回报之间的负相关关系并不稳健，源于交易量持续性和偏度导致的估计偏差；改用高频数据测量后关系转为正，但基于此的投资策略并不盈利。
ABSTRACT The puzzling negative relation between liquidity uncertainty and asset returns, originally put forward by Chordia, Subrahmanyam, and Anshuman (2001) and confirmed by the subsequent empirical literature up to date, is neither robust to the aggregation period, nor to the observation frequency used to compute the volatility of trading volume. We demonstrate that their procedure involves an estimation bias due to the persistence and skewness of volumes. When using an alternative approach based on high‐frequency data to measure liquidity uncertainty, the relationship turns out to be positive. However, portfolio strategies based on liquidity uncertainty do not appear to be profitable.