Abstract

Lou and Shu decompose Amihud’s illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seasonality. In addition, the aggregate market ILLIQ outperforms market IDVOL in estimating the effect of market illiquidity shocks on realized stock returns.

中文翻译：

---

非流动性和股票收益II：横截面和时间序列效应

摘要

Lou和Shu分解了Amihud的非流动性度量（ILLIQ），提出其组成部分，即反向美元交易量（IDVOL）的平均值，足以解释非流动性的定价。它们的分解错过了与流动性不足相关的ILLIQ成分。我们发现，无论是在横截面还是在时间序列上，这一成分都会对股票收益产生重大影响。我们显示，在控制了错误定价，情绪和季节性之后，ILLIQ溢价显着为正。此外，在估计市场非流动性冲击对实际股票收益的影响时，总市场ILLIQ优于市场IDVOL。