Most of the market microstructure literature focuses on the liquidity of individual securities, whereas much of the asset pricing literature examines the association between systematic risk and return. We document the presence of a systematic, time-varying component of liquidity. At the moment, neither the inventory nor the asymmetric information-based approach to liquidity explains the systematic, time-varying component of liquidity.
Huberman, Gur, and Dominika Halka. "Systematic Liquidity." Journal of Financial Research 24, no. 2 (Summer 2001): 161-78.
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