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- W1755721331 abstract "The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation between variability of trading activity and future abnormal returns. I also find that variability of other measures of liquidity and liquidity risk is largely unrelated to expected returns. Lastly, I show that the low returns to the firms with high variability of trading activity are not explained by liquidity risk and mispricing theories." @default.
- W1755721331 created "2016-06-24" @default.
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- W1755721331 date "2010-01-01" @default.
- W1755721331 modified "2023-09-26" @default.
- W1755721331 title "Why Does Higher Variability of Trading Activity Predict Lower Expected Returns?" @default.
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- W1755721331 doi "https://doi.org/10.2139/ssrn.1668671" @default.
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