FACTOR CROWDING AND LIQUIDITY EXHAUSTION
| العنوان: | FACTOR CROWDING AND LIQUIDITY EXHAUSTION |
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| المؤلفون: | Chenguang Shang, Joseph M. Marks |
| المصدر: | Journal of Financial Research. 42:147-180 |
| بيانات النشر: | Wiley, 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | 040101 forestry, 050208 finance, 05 social sciences, Equity (finance), 04 agricultural and veterinary sciences, Liquidity risk, Crowding, Market liquidity, Accounting, 0502 economics and business, Econometrics, Economics, 0401 agriculture, forestry, and fisheries, Portfolio, Volatility (finance), Finance, Stock (geology) |
| الوصف: | Well‐known anomalies and stable patterns in equity returns are widely employed to guide stock selection. The use of overlapping multifactor models built on these patterns induces correlated trade across investors. A stock with a strong signal from a parsimonious multifactor stock selection model exhibits changes in trade activity, net order imbalances, lower volatility, lower liquidity level, and changes in liquidity comovement consistent with correlated trade. These results illustrate that correlated trading among investors can affect the liquidity and risk of the securities they trade, and imply that measures of portfolio liquidity risk that ignore these changes can understate risk. |
| تدمد: | 1475-6803 0270-2592 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::b18a31cfcf92ee850ea3814079cbca00 https://doi.org/10.1111/jfir.12165 |
| حقوق: | CLOSED |
| رقم الأكسشن: | edsair.doi...........b18a31cfcf92ee850ea3814079cbca00 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 14756803 02702592 |
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