- Why EDHEC
- All programmes
- Executive Education
- Research and Innovation
-
Companies and careers
Working with and for companiesThe company is the focal point of EDHEC’s plan, and its reason for being.
- EDHEC Experience
The Time-Varying Liquidity Risk of Value and Growth Stocks
We study the liquidity exposures of value and growth stocks over business cycles.
Author(s):
Mays Business School, Texas A&M University, College Station
Affiliate Professor, EDHEC Business School
Lundquist College of Business, University of Oregon, Eugene
Mays Business School, Texas A&M University, College Station
In the worst times, value stocks have higher liquidity betas than in the best times, while the opposite holds for growth stocks. Small value stocks have higher liquidity exposures than small growth stocks in the worst times. Small growth stocks have higher liquidity exposures than small value stocks in the best times. Our results are consistent with a flight-to-quality explanation for the countercyclical nature of the value premium. Exposure to time-varying liquidity risk captures 35% of the smallstock value premium and 100% of the large-stock value premium.
| Type: | Working paper |
|---|---|
| Date: | le 08/04/2011 |
| Research Cluster : | Finance |
See Also
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
