必博娱乐

主题：Time Series and Cross‐Sectional Properties of Equity Market Liquidity with Applications to the Financial Crisis

时间：6月8日 周四9:30--10:30

地点：浦东校区5103

主要内容：Financial market liquidity varies over time and is cross‐sectionally correlated. Despite a growing literature suggesting that liquidity impacts asset prices and the importance of co‐movement in liquidity to investors holding diversified portfolios, relatively little is understood about the economic sources of this co‐movement. Most economic theory is built around risk factors faced by market makers trading individual assets. This paper proposes the idea that commonality or co‐movement in liquidity comes from co‐movement in the asset specific liquidity risk factors. We show that a factor structure in the risk factors implies a factor structure for liquidity. If the common risk factor is not directly observable (such as asymmetric information) we show that the factor structure implies that observable risk factors can be constructed by taking cross‐sectional averages of the asset specific liquidity risk variables that are often used to proxy for the unobserved. Estimates of the factor models on a sample of S&P100 stocks allows us to identify which common risk factors are important in determining co‐ movement in liquidity. We find that common movement in liquidity risks account for an average of 50% of the time series variability in asset liquidity. We find that inventory risk due to common volatility shocks, market wide asymmetric information and drying up of liquidity suppliers are responsible for a large part of the co‐movement in liquidity during the financial crisis. Interestingly, counterparty risk appears to affect liquidity, but does not imply broad co‐movement in liquidity.