拉斯维加斯9888

标题：Liquidity Shocks and Stock Market Reactions

汇报人：Lin Peng（Baruch College）

功夫：July 4, 2013 (Thursday）AM10:00---11:30

地址:Room 217, Guanghua Building #2

Abstract：

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks

are not only positively associated with contemporaneous returns, but they also predict future

return continuations for up to six months. Long-short portfolios sorted on liquidity

shocks generate significant returns of 0.70% to 1.20% per month that are robust across

alternative shock measures and after controlling for risk factors and stock characteristics.

Furthermore, we show that investor inattention and illiquidity contribute to the underreaction:

while both are significant in explaining short-term return predictability of liquidity

shocks, the inattention-based mechanism is more powerful for the longer-term return predictability.