欧洲的流动性和股票回报

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-07-31 DOI:10.2139/ssrn.1452827

Msci Inc.

{"title":"欧洲的流动性和股票回报","authors":"Msci Inc.","doi":"10.2139/ssrn.1452827","DOIUrl":null,"url":null,"abstract":"The Liquidity style factor in the new and enhanced Barra Europe Equity Model (EUE3) helps to assess the systematic risk associated with infrequent trading. In this Research Bulletin we look at the risk and return to the EUE3 Liquidity factor in different market environments, the link between stock liquidity and stock size and sector, and the relationship between the significance of the Liquidity factor and market performance. This factor’s return varied with the market cycle during the rally of 1995-2000 and the correction of 2000-2003. In the more recent cycle, there was less dispersion between the rally and the correction. We also find that there are some systematic relationships between a company’s liquidity and its size and sector. Finally, we find that the EUE3 Liquidity factor return tends to be statistically significant when the market moves up or down in a meaningful way, which is consistent with our analysis of the Liquidity factor in GEM2.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.2000,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Liquidity and Stock Returns In Europe\",\"authors\":\"Msci Inc.\",\"doi\":\"10.2139/ssrn.1452827\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Liquidity style factor in the new and enhanced Barra Europe Equity Model (EUE3) helps to assess the systematic risk associated with infrequent trading. In this Research Bulletin we look at the risk and return to the EUE3 Liquidity factor in different market environments, the link between stock liquidity and stock size and sector, and the relationship between the significance of the Liquidity factor and market performance. This factor’s return varied with the market cycle during the rally of 1995-2000 and the correction of 2000-2003. In the more recent cycle, there was less dispersion between the rally and the correction. We also find that there are some systematic relationships between a company’s liquidity and its size and sector. Finally, we find that the EUE3 Liquidity factor return tends to be statistically significant when the market moves up or down in a meaningful way, which is consistent with our analysis of the Liquidity factor in GEM2.\",\"PeriodicalId\":47599,\"journal\":{\"name\":\"European Journal of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2009-07-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"European Journal of Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1452827\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Journal of Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.1452827","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

新的和增强的Barra欧洲股票模型(EUE3)中的流动性风格因素有助于评估与不频繁交易相关的系统风险。在本研究公报中，我们着眼于不同市场环境下EUE3流动性因素的风险和回报，股票流动性与股票规模和行业之间的联系，以及流动性因素的重要性与市场表现之间的关系。在1995-2000年的反弹和2000-2003年的修正期间，该因素的回报随市场周期而变化。在最近的周期中，反弹和回调之间的差距较小。我们还发现，公司的流动性与其规模和行业之间存在一定的系统关系。最后，我们发现EUE3的流动性因子回报在市场上行或下行时往往具有统计学显著性，这与我们对GEM2中流动性因子的分析是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Liquidity and Stock Returns In Europe

The Liquidity style factor in the new and enhanced Barra Europe Equity Model (EUE3) helps to assess the systematic risk associated with infrequent trading. In this Research Bulletin we look at the risk and return to the EUE3 Liquidity factor in different market environments, the link between stock liquidity and stock size and sector, and the relationship between the significance of the Liquidity factor and market performance. This factor’s return varied with the market cycle during the rally of 1995-2000 and the correction of 2000-2003. In the more recent cycle, there was less dispersion between the rally and the correction. We also find that there are some systematic relationships between a company’s liquidity and its size and sector. Finally, we find that the EUE3 Liquidity factor return tends to be statistically significant when the market moves up or down in a meaningful way, which is consistent with our analysis of the Liquidity factor in GEM2.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.