Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Pereira, J. & Zhang, H. (2010). Stock returns and the volatility of liquidity. Journal of Financial and Quantitative Analysis. 45 (4), 1077-1110
Exportar Referência (IEEE) 
J. P. Pereira and H. Zhang,  "Stock returns and the volatility of liquidity", in Journal of Financial and Quantitative Analysis, vol. 45, no. 4, pp. 1077-1110, 2010
Exportar BibTeX 
@article{pereira2010_1775859551569,
	author = "Pereira, J. and Zhang, H.",
	title = "Stock returns and the volatility of liquidity",
	journal = "Journal of Financial and Quantitative Analysis",
	year = "2010",
	volume = "45",
	number = "4",
	doi = "10.1017/S0022109010000323",
	pages = "1077-1110",
	url = ""
}
Exportar RIS 
TY  - JOUR
TI  - Stock returns and the volatility of liquidity
T2  - Journal of Financial and Quantitative Analysis
VL  - 45
IS  - 4
AU  - Pereira, J.
AU  - Zhang, H.
PY  - 2010
SP  - 1077-1110
SN  - 0022-1090
DO  - 10.1017/S0022109010000323
AB  - This paper offers a rational explanation for the puzzling empirical fact that stock returns decrease with an increase in the volatility of liquidity. We model liquidity as a stochastic price impact process and define the liquidity premium as the additional return necessary to compensate a multiperiod investor for the adverse price impact of trading. The model demonstrates that a fully rational, utility maximizing, risk-averse investor can take advantage of time-varying liquidity by adapting his trades to the state of liquidity. We provide new empirical evidence supportive of the model.
ER  -