Maria Flora (CREST, ENSAE, Institut Polytechnique de Paris)
17 May 2021 @ 12:45 - 13:45
- Past event
“The liquidity uncertainty premium puzzle”
Abstract: We address a classical puzzle in financial economics: the counter-intuitive negative relation between volatility of volume and asset returns originally put forward by Chordia, Subrahmanyam, and Anshuman (2001) and confirmed by the subsequent empirical literature. We show that the alleged negative relation is not robust to the aggregation window, nor to the way the volatility of volume is measured. In particular, when we employ high-frequency one-minute volume data, the relation is positive and robust, restoring economic intuition which commends investors’ aversion to liquidity uncertainty.
Meeting ID: 811 0984 7151