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| Tekijä: | Sadka, R. |
| Otsikko: | Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk |
| Lehti: | Journal of Financial Economics
2006 : MAY, VOL. 80:2, p. 309-349 |
| Asiasana: | finance earnings liquidity risk assets pricing trading transaction costs models |
| Kieli: | eng |
| Tiivistelmä: | In the paper, the components of liquidity risk important for understanding asset-pricing anomalies are investigated. Firm-level liquidity is decomposed into variable and fixed price effects and estimated using intraday data for the period from 1983 to 2001. The results suggest that a substantial part of momentum and post-earnings-announcement drift (PEAD) returns can be viewed as compensation for the unexpected variations in the aggregate ratio of informed traders to noise traders. |
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