The pricing of liquidity factors
研究了流动性因素是否在Fama-French因子之外提供定价信息，构建了六个流动性因子，发现它们与规模因子高度相关但仍有额外定价能力。
Abstract We examine whether liquidity factors add priced information beyond the Fama–French factors, especially size (SMB). Using U.S. equities from 1963–2023, we construct six liquidity factors tied to liquidity costs and liquidity‐risk exposures. Three factors—liquidity costs (LIQ), liquidity commonality (COM), and liquidity sensitivity to market uncertainty (LMU)—capture distinct, economically meaningful liquidity risk. Although highly correlated with SMB, these factors improve spanning and performance tests and leave significant residual pricing information relative to standard models. Liquidity therefore complements the Fama–French framework and highlights additional channels through which trading frictions and uncertainty shape expected returns.