TAILIEUCHUNG - Liquidity and Autocorrelations in Individual Stock Returns

The institutional asset management industry operates globally and is very diverse in terms of the variance in size and depth of funds that firms have under management. Similarly, there is wide diversity in the areas that institutional investors focus on and the investment strategies they deploy. For example, funds may be tailored to offer very specific investment including pure exposure to a particular country, region or industry sector, whereas other funds may only invest in certain asset classes or be seeking a specific income level, perhaps through dividends, or a certain growth profile. In addition, some fund managers will approach. | THE JOURNAL OF FINANCE VOL. LXI NO. 5 OCTOBER 2006 Liquidity and Autocorrelations in Individual Stock Returns DORON AVRAMOV TARUN CHORDIA and AMIT GOYAL ABSTRACT This paper documents a strong relationship between short-run reversals and stock illiquidity even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover low liquidity stocks as the price pressures caused by non-informational demands for immediacy are accommodated. However the contrarian trading strategy profits are smaller than the likely transactions costs. This lack of profitability and the fact that the overall findings are consistent with rational equilibrium paradigms suggest that the violation of the efficient market hypothesis due to short-term reversals is not so egregious after all. Asset prices should follow a martingale process over short horizons as systematic short-run changes in fundamental values should be negligible in an efficient market with unpredictable information arrival. However Lehmann 1990 and Jegadeesh 1990 show that contrarian strategies that exploit the short-run return reversals in individual stocks generate abnormal returns of about per week and per month respectively. Subsequently Ball Kothari and Wasley 1995 and Conrad Gultekin and Kaul 1997 suggest that much of such reversal profitability is within the bid-ask bounce. Theoretically the potential role of liquidity in explaining the high abnormal payoffs to short-run contrarian strategies is implied by the rational equilibrium framework of Campbell Grossman and Wang 1993 henceforth CGW . In the CGW model non-informational trading causes price movements that when absorbed by liquidity suppliers cause prices to revert. such non-informed trading is accompanied by high trading volume whereas informed trading is accompanied by little trading volume. Thus price changes accompanied by high low trading volume should should not revert. .

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