Why Does Higher Variability of Trading Activity Predict Lower Expected Returns?

The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation between variability of trading activity and future abnormal returns. I also find that variability of other measures of liquidity and liquidity risk is largely unrelated to expected returns. Lastly, I show that the low returns to the firms with high variability of trading activity are not explained by liquidity risk and mispricing theories

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Year of publication:	2015
Authors:	Barinov, Alexander
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (51 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Banking and Finance, Vol. 58, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2015 erstellt
Other identifiers:	10.2139/ssrn.1668671 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013038610