Market Liquidity as a Sentiment Indicator
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We build a model that helps explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of trade, or higher share turnover - predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the
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美国国家经济研究局创建时间：
2002-02-01
