Journal of Financial Economics Volume 130, Issue 1, October 2018, Pages 48-73

微观（结构）在宏观之前？汇总非流动性对股票收益和经济活动的预测能力

作者：Yong Chen (Texas A&M University)

Gregory W. Eaton (Oklahoma State University)

Bradley S. Paye (Pamplin College of Business, Virginia Tech)

摘要：本文构建并分析了1926年至2015年期间美国股票市场交易成本的各种衡量标准。 这些指标包含在统计和经济上显著的股票市场收益和实际经济活动的预测指标。我们将非流动性代理指标分解为捕获总体波动率的部分和残差两个部分。这两个部分的预测内容有重要区别。具体而言，我们发现有力的证据表明，非流动性的组成部分与预测股票市场回报的波动性不相关。波动性和非流动性的剩余成分都包含有关未来经济活动的信息。

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

YongChena(Texas A&M University); Gregory W.Eatonb(Oklahoma State University);Bradley S.Paye(Pamplin College of Business, Virginia Tech)

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 strong evidence that the component of illiquidity uncorrelated with volatility forecasts stock market returns. Both the volatility and residual components of illiquidity contain information regarding future economic activity.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X1830148X

翻译：黄涛