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 …

costs. The model proposed in this paper permits a liquidity premium much bigger than those found by most empirical … literature. Our liquidity premium is much bigger when using reasonably-calibrated parameters, so transaction costs can have a … for a puzzling feature of economic crises, where liquidity was greatly reduced in the financial market. Our model shows …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

We examine whether commonality in liquidity arises from style investing. We sort stocks into styles along widely …-used size and growth dimensions, and show that style-related commonality in liquidity is significant, dominates commonality in … liquidity with the rest of the market, and has more than doubled in the last decade, when style investing has become prominent …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

market risk, whereas the second term can be interpreted as a required compensation for a form of liquidity risk. This … required compensation for liquidity risk increases linearly with the covariance between the proportion invested illiquid in the …

We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while pro-cyclical dividends amplify this effect. More importantly, we observe that cash dividends can no … longer play a role as a liquidity provider if the volatility of pro-cyclical dividends increases. Our model provides a …