| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3562 |
| DP3562 Conditionality and Ownership in IMF Lending: A Political Economy Approach | |
| Allan Drazen | |
| 发表日期 | 2002-09-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5% annually, adjusted for exposures to the market return as well as size, value, and momentum factors. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Liquidity risk Expected returns |
| URL | https://cepr.org/publications/dp3562 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532568 |
| 推荐引用方式 GB/T 7714 | Allan Drazen. DP3562 Conditionality and Ownership in IMF Lending: A Political Economy Approach. 2002. |
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