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):

Ferhat Akbas

Mays Business School, Texas A&M University, College Station

Ekkehart Boehmer

Affiliate Professor, EDHEC Business School

Egemen Genc

Lundquist College of Business, University of Oregon, Eugene

Ralitsa Petkova

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.
Pdf
The Time-Varying Liquidity Risk of Value and Growth Stocks...
(-1.00 B)
Type: Working paper
Date: le 08/04/2011
Extra information : For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
Research Cluster : Finance

See Also

Lionel Martellini discussed ageing population: goal-based investing and its application to the retirement problem
News
- 10-07-2018
Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-...
EDHECInfra Days: Infrastructure Investors need proper benchmarks
News
- 05-07-2018
Earlier this month we held the first EDHECinfra Days event in London, bringing together...
EDHEC Family Business Centre Dissemin’Actions
News
- 05-07-2018
Since the beginning of 2018, researchers and teachers from the Family Business Centre...
Editorial Partnership between Les Echos Solutions and the EDHEC Family Business Centre
News
- 05-07-2018
On the June 20, 2018, the Family Business Centre made its first contribution at the...