Liquidity shock and stock returns in the Japanese equity market
Liquidity shock and stock returns in the Japanese equity market
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日本股市的流动性冲击和股票回报
DOI：
10.1016/j.pacfin.2022.101849
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发表时间：
2022
影响因子：
4.6
通讯作者：
Hirose Takehide
中科院分区：
文献类型：
--
作者：
Iwanaga Yasuhiro;Hirose Takehide
本文研究了日本股票市场流动性冲击与股票收益率之间的关系。与美国股市一样，我们观察到一个非理性现象：具有正流动性冲击的股票未来回报率高于具有负流动性冲击的股票。这种现象可能是由于对流动性冲击反应不足造成的。我们发现，流动性不足强烈有助于这种反应不足，不像美国股市。此外，我们还发现了以前不知道的新事实。我们发现，由坏消息引起的流动性冲击比由好消息引起的流动性冲击更快定价。我们还发现，流动性冲击在横截面上的定价可能会受到随时间变化的市场流动性冲击的影响。
We investigate the relationship between liquidity shocks and stock returns in the Japanese equity market. As in the US equity market, we observe an irrational phenomenon: Stocks with positive liquidity shocks have higher future returns than stocks with negative liquidity shocks. This phenomenon may be caused by an underreaction to liquidity shocks. We show that illiquidity strongly contributes to this underreaction, unlike the US equity market. Additionally, we uncover new facts that were not previously known. We show that liquidity shocks caused by bad news is more quickly priced than those caused by good news. We also find that pricing on liquidity shocks in the cross-section may be affected by time-varying market liquidity shocks.