TAILIEUCHUNG - Liquidity Risk and Expected Stock Returns

Listing standards may or may not address governance issues directly and/or compliance with an applicable governance code may well be part of individual listing agreements. In some instances, as mentioned above, listing standards incorporate elements of the governance code (cf. the Australian example). In other jurisdictions, additional governance standards - over and above the governance code - have been introduced as part of the listing requirements. For instance, the Stockholm Stock Exchange and the TSX both impose such standards (. in relation to the composition, competence and independence of the board). | Liquidity Risk and Expected Stock Returns by Lubos Pastor and Robert F. Stambaugh First draft July 13 2001 This revision July 11 2002 Abstract This study investigates whether market-wide 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. Over a 34-year period the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by annually adjusted for exposures to the market return as well as size value and momentum factors. JEL Classification G12 Keywords asset pricing liquidity risk expected returns Graduate School of Business University of Chicago NBER and CEPR Pastor and the Wharton School University of Pennsylvania and NBER Stambaugh . 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 John Campbell Tarun Chordia John 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 Washington University the RFS Conference on Investments in Imperfect Capital Markets at Northwestern University the Fall 2001 NBER Asset Pricing meeting and the .

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