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• W2046556979 abstract "We build a model that helps to explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of trade, or higher turnover - predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, high liquidity is a symptom of the fact that the market is dominated by these irrational investors, and hence is overvalued. This theory can also explain how managers might successfully time the market for seasoned equity offerings, by simply following a rule of thumb that involves issuing when the SEO market is particularly liquid. Empirically, we find that: i) aggregate measures of equity issuance and share turnover are highly correlated; yet ii) in a multiple regression, both have incremental predictive power for future equal-weighted market returns." @default.
• W2046556979 created "2016-06-24" @default.
• W2046556979 creator A5044570107 @default.
• W2046556979 creator A5090389493 @default.
• W2046556979 date "2002-01-01" @default.
• W2046556979 modified "2023-09-27" @default.
• W2046556979 title "Market Liquidity as a Sentiment Indicator" @default.
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• W2046556979 doi "https://doi.org/10.2139/ssrn.303839" @default.
• W2046556979 hasPublicationYear "2002" @default.
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