In this paper, we explore the relations between liquidity, stock returns, and investor risk aversion as captured by the variance risk premium (VRP). This is motivated by theoretical and empirical evidence in the literature which suggests that investor risk aversion negatively correlates with asset liquidity, and ample empirical evidence documenting liquidity risk premium. We use monthly US data from January 1999 to December 2018 and show that innovations in the VRP Granger-cause stock returns, which in turn drive liquidity. Our findings are consistent with predictions of prior theories and highlight the predictability of the VRP. They also contribute to the on-going debate on the causal relation between stock returns and liquidity. Finally, we explore the channels through which the VRP impacts liquidity and find that the VRP influences market and momentum factors, and that movements in these factors lead to changes in liquidity.

在本文中，我们探讨了由方差风险溢价（VRP）捕获的流动性，股票收益和投资者风险规避之间的关系。这是由文献中的理论和经验证据所推动的，这表明投资者的风险规避与资产流动性负相关，并且有大量的经验证据证明了流动性风险溢价。我们使用1999年1月至2018年12月的美国月度数据，显示VRP格兰杰因股票收益产生的创新，进而推动了流动性。我们的发现与先前理论的预测一致，并突出了VRP的可预测性。它们也为有关股票收益与流动性之间因果关系的持续辩论做出了贡献。最后，