We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant … Strategy, an Earnings-Based Liquidity Strategy, and a Market Cap-Based Liquidity Strategy. Our backtest research shows that the … Earnings-Based Liquidity Strategy offers the highest return and the best risk-return trade-off, while the Volume Weighted …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

Recent literature indicates that a liquidity investment style – the process of investing in relatively less liquid … significantly outperformed mutual funds that held more liquid stocks. This demonstrates that the liquidity premium is sufficiently … strong to show up in portfolios where the managers are most likely not directly focusing on liquidity. Surprisingly, the …

theory and use the convergence tools from the theory of viscosity solutions. The multidimensional case is studied in our …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …