This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …

including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity …, Botswana, Kenya, Nigeria, Ghana and Cote d'Ivoire's BRVM. The evidence suggests that both size and liquidity factors are … filter techniques that reveal liquidity effects in all SSA markets while substantial size effects are present in Namibia and …

This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors … substantial size and liquidity effects are present in all markets with the sole exception of Sri Lanka. Time varying liquidity …

Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …