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Original paper

Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity

Volume: 130, Issue: 1, Pages: 48 - 73
Published: May 30, 2018
Abstract
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...
Paper Details
Title
Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity
Published Date
May 30, 2018
Volume
130
Issue
1
Pages
48 - 73
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