This paper investigates whether resiliency is a systematic risk factor that generates cross-sectional variations in stock returns. Resiliency is defined as the quickness of the transitory price recovery from a liquidity shock. Using the Beveridge-Nelson decomposition and the spectral analysis in the frequency domain, we measure resiliency of individual stocks as the speed of the mean reversion of transitory price components. Our main finding is that a zero-investment portfolio that is long in low-resiliency stocks and short in high-resiliency stocks earns statistically and economically significant abnormal returns. Furthermore, we find that our resiliency measure is complementary to existing liquidity measures to capture a full dimension of liquidity and additional liquidity risk premia.
Keywords: resiliency; liquidity; stock returns; transitory price
JEL classification: G10, G12, G14
[2015년 제 4차] Transitory Price, Resiliency and the Cross-Section
작성자 : 관리자
조회수 : 828
게시일 :
2015-12-30