期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 130, 期 1, 页码 48-73出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2018.05.011
关键词
Stock market liquidity; Stock return predictability; Macroeconomic forecasts; Transaction costs; Equity premium
资金
- Mays Business School at Texas AM University
- CREATES Center for Research in Econometric Analysis of Time Series - Danish National Research Foundation [DNRF78]
This paper constructs and analyzes various measures of trading costs in US equity markets covering the period 1926-2015. These measures contain statistically and economically significant predictive signals for stock market returns and real economic activity. We decompose illiquidity proxies into a component capturing aggregate volatility and a residual. The predictive content of these components differs in important ways. Specifically, we find strong evidence that the component of illiquidity uncorrelated with volatility forecasts stock market returns. Both the volatility and residual components of illiquidity contain information regarding future economic activity. (C) 2018 Elsevier B.V. All rights reserved.
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