mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental … asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against …. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …

in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice … versa.Another interesting finding is that liquidity changes strongly predict long-term abnormal returns as well as … accounting performance in the post-lockup period. Our results remain robust to the use of alternate procedures to characterize …