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The current Alberta law governing transfers of investment securities is found in the Alberta Business Corporations Act ("ABCA"). Like the provisions in most other Canadian Business Corporations Acts, it is based upon the pre- 1962 version of Article 8 of the U.S. Uniform Commercial Code ("UCC"). It relies upon the concepts of possession and delivery of a physical object - the negotiable security certificate. At one time, the settlement of a normal securities transaction involved the actual delivery of certificates between buyers and sellers, but this was a laborious. | Liquidity risk and expected stock returns Lubos Pastor Robert F Stambaugh The Journal of Political Economy Jun 2003 111 3 ABI INFORM Global pg. 642 Liquidity Risk and Expected Stock Returns Lubos Pastor University of Chicago National Bureau of Economic liesearch and Centre for Economic Policy Research Robert E Stambaugh University of Pennsylvania and National Bureau of Economic Research This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure an average of individual-stock measures estimated with daily data relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 through 1999 the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 percent annually adjusted for exposures to the market return as well as size value and momentum factors. Furthermore a liquidity risk factor accounts for half of the profits to a momentum strategy over the same 34-year period. Research support from the Center for Research in Security Prices and the James s. Kemper Faculty Research Fund at the Graduate School of Business University of Chicago is gratefully acknowledged Pastor . We are grateful for comments from Nick Barberis ohn Campbell Tarun Chordiajohn Cochrane the editor George Constantinides Doug Diamond Andrea Eisfeldt Gene Fama Simon Gervais David Goldreich Gur Huberman Michael Johannes Owen Lamont Andrew Metrick Mark Ready Hans Stoll Dick Thaler Rob Vishny Tuomo Vuolteenaho Jiang Wang and two anonymous referees as well as workshop participants at Columbia University Harvard University New York University Stanford University University of Arizona University of California at Berkeley University of Chicago University of Florida University of Pennsylvania .