Liquidity Risk and Stock Returns: A Return Decomposition Approach

Empirical Asset Pricing Pub Date : 2013-02-10 DOI:10.2139/ssrn.2148729

Shaun A. Bond, Qingqing Chang

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引用次数: 4

Abstract

We study the effect of innovations in liquidity on stock-return volatility under the return-decomposition framework. Using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we contend that both cash-flow news and expected return news correlate with liquidity shocks, and the cash-flow news component is a nontrivial channel through which liquidity correlates with stock returns. Specifically, we find a positive (decrease) liquidity shock for firms that have positive (negative) cash-flow news and expected-return news. Furthermore, since the correlation between liquidity proxies and stock returns also arise from the association of liquidity proxies with the three stock return components, the R^2 from a regression of returns on liquidity proxies may understate or overstate the importance of liquidity as a source of stock-return variance. Finally, liquidity proxies tend to explain stock returns better during negative market liquidity shocks, but this additional explanatory power comes mostly from the increased correlation between liquidity proxies and cash-flow news, while the correlation between liquidity proxies and unexplained stock return variations does not change with market liquidity conditions.

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流动性风险与股票收益:收益分解方法

本文在收益分解框架下研究了流动性创新对股票收益波动的影响。通过对股票分析师共识预测的修正来直接衡量现金流新闻，我们认为现金流新闻和预期回报新闻都与流动性冲击相关，现金流新闻组成部分是流动性与股票回报相关的重要渠道。具体来说，我们发现对于那些有正(负)现金流新闻和预期回报新闻的公司来说，流动性冲击是正的(减少的)。此外，由于流动性代理与股票回报之间的相关性也源于流动性代理与三个股票回报组成部分的关联，因此流动性代理回报回归的R^2可能低估或夸大了流动性作为股票回报方差来源的重要性。最后，在市场流动性负面冲击时，流动性代理往往能更好地解释股票收益，但这种额外的解释力主要来自流动性代理与现金流新闻之间的相关性增加，而流动性代理与未解释的股票收益变化之间的相关性并不随市场流动性状况而改变。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Empirical Asset Pricing

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