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• W2176177823 abstract "The conventional, risk-based view on liquidity beta is often a dismal story for empirical data. We propose a competing, sentiment-based view on the reversed pricing pattern of liquidity beta in China: High liquidity beta stocks underperform low liquidity beta stocks by 1.17% per month. The striking pattern is robust to different weighting schemes, competing factor models, alternative liquidity measures, and other well-known determinants of cross-sectional returns. Consistent with our new perspective, liquidity beta is a negative return predictor at firm level. Moreover, the return differential between high and low liquidity beta stocks is more dramatic following high market liquidity periods." @default.
• W2176177823 created "2016-06-24" @default.
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• W2176177823 date "2014-01-01" @default.
• W2176177823 modified "2023-09-23" @default.
• W2176177823 title "Understanding the Controversy of Liquidity Beta" @default.
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• W2176177823 doi "https://doi.org/10.2139/ssrn.2536118" @default.
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