逆转和流动性准备金的回报

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE

Financial Analysts Journal Pub Date : 2024-01-18 DOI:10.1080/0015198x.2023.2292534

Wei Dai, Mamdouh Medhat, Robert Novy-Marx, Savina Rizova

引用次数: 0

摘要

流动性的不同方面以不同的方式影响短期反转的表现，这与微观结构模型的预测一致。较高的波动性与较快的...

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Reversals and the Returns to Liquidity Provision

Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster...

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.