Review of Financial Studies Vol. 33 No. 2 2020
Resiliency and Stock Returns
Abstract
We present resiliency as a measure of liquidity and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency, and use it to find a significant nonresiliency premium that ranges from 33 to 57 basis points per month. The premium persists after accounting for an extensive list of other liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns, when micro-cap stocks are excluded, and for a sample of large cap stocks. The premium is particularly pronounced when trading volume is high.
- DOI
- 10.1093/rfs/hhz048
- Volume
- 33
- Issue
- 2
- Pages
- 747-782
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref