Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "15383"
  #_source: array:26 [
    "id" => "15383"
    "slug" => "the-liquidity-uncertainty-premium-puzzle"
    "yearMonth" => "2024-12"
    "year" => "2024"
    "title" => "The Liquidity Uncertainty Premium Puzzle"
    "description" => "FLORA, M., GIANSTEFANI, I. et RENO, R. (2024). The Liquidity Uncertainty Premium Puzzle. <i>Journal of Time Series Analysis</i>, In press."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "RENO Roberto"
        "bid" => "B00798674"
        "slug" => "reno-roberto"
      ]
      1 => array:1 [
        "name" => "FLORA Maria"
      ]
      2 => array:1 [
        "name" => "GIANSTEFANI Ilaria"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "asset pricing"
      1 => "high-frequency data"
      2 => "liquidity uncertainty premium"
      3 => "liquidity"
    ]
    "updatedAt" => "2024-12-11 01:00:47"
    "publicationUrl" => "https://doi.org/10.1111/jtsa.12802"
    "publicationInfo" => array:3 [
      "pages" => ""
      "volume" => "In press"
      "number" => ""
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "The puzzling negative relation between liquidity uncertainty and asset returns, originally put forward by Chordia, Subrahmanyam, and Anshuman (2001) and confirmed by the subsequent empirical literature up to date, is neither robust to the aggregation period, nor to the observation frequency used to compute the volatility of trading volume. We demonstrate that their procedure involves an estimation bias due to the persistence and skewness of volumes. When using an alternative approach based on high-frequency data to measure liquidity uncertainty, the relationship turns out to be positive. However, portfolio strategies based on liquidity uncertainty do not appear to be profitable."
      "en" => "The puzzling negative relation between liquidity uncertainty and asset returns, originally put forward by Chordia, Subrahmanyam, and Anshuman (2001) and confirmed by the subsequent empirical literature up to date, is neither robust to the aggregation period, nor to the observation frequency used to compute the volatility of trading volume. We demonstrate that their procedure involves an estimation bias due to the persistence and skewness of volumes. When using an alternative approach based on high-frequency data to measure liquidity uncertainty, the relationship turns out to be positive. However, portfolio strategies based on liquidity uncertainty do not appear to be profitable."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2025-01-04T23:21:46.000Z"
    "docTitle" => "The Liquidity Uncertainty Premium Puzzle"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, FLORA Maria, GIANSTEFANI Ilaria"
    "docDescription" => "<span class="document-property-authors">RENO Roberto, FLORA Maria, GIANSTEFANI Ilaria</span><br><span class="document-property-authors_fields">Systèmes d'Information, Data Analytics et Opérations</span> | <span class="document-property-year">2024</span>"
    "keywordList" => "<a href="#">asset pricing</a>, <a href="#">high-frequency data</a>, <a href="#">liquidity uncertainty premium</a>, <a href="#">liquidity</a>"
    "docPreview" => "<b>The Liquidity Uncertainty Premium Puzzle</b><br><span>2024-12 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1111/jtsa.12802" target="_blank">The Liquidity Uncertainty Premium Puzzle</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.667198
  +"parent": null
}