Original paper
Commonality in Liquidity: A Demand-Side Explanation
Abstract
We hypothesize that a source of commonality in a stock’s liquidity arises from the correlated liquidity demand of the stock’s investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds...
Paper Details
Title
Commonality in Liquidity: A Demand-Side Explanation
Published Date
Apr 21, 2016
Journal
Volume
29
Issue
8
Pages
1943 - 1974