Financial Analyst Journal, Volume 69, Issue3, 2013

将流动性作为一种投资风格

作者：Roger G. Ibbotson (Yale School of Management),

Zhiwu Chen (Yale School of Management),

Daniel Y.-J. Kim (Zebra Capital Management),

Wendy Y. Hu (Permal Asset Management)

摘要：流动性应与规模、价值/增长和动量相同，作为一种投资风格。以股票周转率衡量，流动性是经济长期收益的重要指标。流动性的收益与其他类型的投资风格所产生的收益完全不同，它不仅仅是种替代方式。最后，股票的流动性随着时间的变化是相对稳定的，并且流动性的变化与股票估值的变化有关。

Liquidity as an Investment Style

Roger G. Ibbotson (Yale School of Management), Zhiwu Chen (Yale School of Management), Daniel Y.-J. Kim (Zebra Capital Management), Wendy Y. Hu (Permal Asset Management)

ABSTRACT

Liquidity should be given equal standing with size, value/growth, and momentum as an investment style. As measured by stock turnover, liquidity is an economically significant indicator of long-run returns. The returns of liquidity are sufficiently different from those of the other styles that it is not merely a substitute. Finally, a stock’s liquidity is relatively stable over time, with changes in liquidity associated with changes in valuation.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v69.n3.4

翻译：秦秀婷