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Reversals and the Returns to Liquidity Provision / Wei Dai, Mamdouh Medhat, Robert Novy-Marx, Savina Rizova.
- Format:
- Book
- Author/Creator:
- Dai, Wei.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w30917.
- NBER working paper series no. w30917
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2023.
- Summary:
- Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster, initially stronger reversals, while lower turnover is associated with more persistent, ultimately stronger reversals. These facts also hold outside the US and explain several seemingly disparate results in the literature.
- Notes:
- Print version record
- February 2023.
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