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Earnings and liquidity factors

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  • Snigaroff, Robert
  • Wroblewski, David

Abstract

A model with factors for earnings, liquidity, their respective growth, and the market can offer a consumption rationale with low pricing error. It also subsumes one-year momentum and momentum net of reversal, the factor commonly known as ‘momentum.’ These earnings and liquidity factors are all significant and combine for a model without factor redundancy. Motivated by investors’ ability to establish positions, we construct portfolios based on volume, and reconcile liquidity into reduced form characteristics-based factor models that compliment firm-based factors.

Suggested Citation

  • Snigaroff, Robert & Wroblewski, David, 2021. "Earnings and liquidity factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 508-523.
    • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:508-523
    DOI: 10.1016/j.qref.2021.03.011
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    Cited by:

    1. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.

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