Evaporating Liquidity

The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Using this approach, this article shows that the return from liquidity provision is highly predictable with the VIX index. Expected returns and conditional Sharpe r...

Full description

Saved in:
Bibliographic Details
Published in:The Review of financial studies 2012-07, Vol.25 (7), p.2005-2039
Main Author: Nagel, Stefan
Format: Article
Language:English
Subjects:
1998-2010
Capital market
Economic conditions
Economic crises
Economic crisis
Equity
Expected returns
Experimental methods
Financial intermediaries
Financial market
Financial portfolios
Finanzkrise
Finanzmarkt
Funding liquidity
Indexes
Investment policy
Kapitaleinkommen
Liquidity
Liquidity risk
Liquidität
Liquiditätspräferenz
Market prices
Order flow
Prognoseverfahren
Risk premiums
Securities markets
Stock prices
Studies
USA
Wertpapierhandel
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!