Event

過去のイベント

第38回: Liquidity as an Investment Style

開催場所:
コレド日本橋5階 早稲田大学日本橋キャンパス ホール

報告者:
Roger Ibbotson氏
Professor in the Practice of Finance, Yale School of Management
Chairman and CIO of Zebra Capital Management, LLC
Special Advisor, Ibbotson Associates Japan
※農林中央金庫寄付講座共催
※早稲田大学流動性リスク研究会と共催

要約:
Most conventional investment analyses focus on the relation between risk and return. There is another dimension of pricing that may be as important; the relation between liquidity and return.
This paper focuses on the impact of liquidity in public equity markets. We show that more liquid stocks have higher valuations, and correspondingly lower returns, on average. In contrast, less liquid stocks have higher returns on average. We show that the liquidity impact on returns is separate from the risk styles of size,value/growth, and momentum.
Similar to an investment style, liquidity affects the average returns, but does necessarily predict period by period returns.