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LTI@Unito
and Fondazione
Collegio Carlo
Alberto are
pleased to
invite you to
the following
workshop
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May 17, 2021 | 12:45 - 13:45
“The
liquidity
uncertainty
premium
puzzle”
Maria
Flora (CREST,
ENSAE,
Institut
Polytechnique
de Paris)
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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:
Meeting
ID: 811 0984
7151
Passcode:
268588
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UNDER THE NEW GENERAL
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Collegio Carlo Alberto,
piazza Arbarello 8, 1022
Torino, Italy - phone:
+390116705000 -
privacy@carloalberto.org
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© 2021 Fondazione
Collegio Carlo Alberto
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