Dear Colleagues,
I am happy to share with you the following invitation to the Quantative Finance webinar organized by LTI@UniTO and Collegio Carlo Alberto, “The liquidity uncertainty premium puzzle” by Maria Flora (CREST, ENSAE, Institut Polytechnique de Paris), which will take place on Zoom on May 17, at 12.45. Below you find the Zoom link and an abstract of the presentation.
Best regards,
Luca Regis
<#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following workshop
<#> *May 17, 2021 | 12:45 - 13:45* *“The liquidity uncertainty premium puzzle”* *Maria Flora (CREST, ENSAE, Institut Polytechnique de Paris)*
<#> *Abstract*: We address a classical puzzle in financial economics: the counter-intuitive negative relation between volatility of volume and asset returns originally put forward by Chordia, Subrahmanyam, and Anshuman (2001) and confirmed by the subsequent empirical literature. We show that the alleged negative relation is not robust to the aggregation window, nor to the way the volatility of volume is measured. In particular, when we employ high-frequency one-minute volume data, the relation is positive and robust, restoring economic intuition which commends investors’ aversion to liquidity uncertainty. *Zoom link*: https://us02web.zoom.us/j/81109847151?pwd=TEl0L1lNVEtUbjh5RVJvM3pRUG40UT09 https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/hB0bS22L3Y_ENjUYgp7T2q29i3-4-1d8K-iQIJeKTPsByN69FqyDD0Q9JT1m_a2AXZqbzFR03FVj6L0Xta3tMWEgQbSkhnFwYelDR-Bzvymic8MtY7ZOgyTDqjYSuIs5F3AEo_kk6XrbLV_EEy_FmAdffHbZTQ9NqvgxGHdU25ZQHZ7k-T4TjxsGXralwinkumPvjpvPMCaMFnVUnTjvNH8u6j8VwTkAWuj-wWjcVJaeRlCC37U Meeting ID: 811 0984 7151 Passcode: 268588
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