FACTOR CROWDING AND LIQUIDITY EXHAUSTION

FACTOR CROWDING AND LIQUIDITY EXHAUSTION

Well‐known anomalies and stable patterns in equity returns are widely employed to guide stock selection. The use of overlapping multifactor models built on these patterns induces correlated trade across investors. A stock with a strong signal from a parsimonious multifactor stock selection model exh...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The Journal of financial research 2019-03, Vol.42 (1), p.147-180
Hauptverfasser: Marks, Joseph M., Shang, Chenguang
Format: Artikel
Sprache:eng
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 180
container_issue 1
container_start_page 147
container_title The Journal of financial research
container_volume 42
creator Marks, Joseph M.
Shang, Chenguang
description Well‐known anomalies and stable patterns in equity returns are widely employed to guide stock selection. The use of overlapping multifactor models built on these patterns induces correlated trade across investors. A stock with a strong signal from a parsimonious multifactor stock selection model exhibits changes in trade activity, net order imbalances, lower volatility, lower liquidity level, and changes in liquidity comovement consistent with correlated trade. These results illustrate that correlated trading among investors can affect the liquidity and risk of the securities they trade, and imply that measures of portfolio liquidity risk that ignore these changes can understate risk.
doi_str_mv 10.1111/jfir.12165
format Article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2198976185</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2198976185</sourcerecordid><originalsourceid>FETCH-LOGICAL-c3345-6b0035e27fe78f7170232c6e5dd6ffc321b64e985c6acd61f9ea7592906c9d4f3</originalsourceid><addsrcrecordid>eNp9kF1LwzAUhoMoOKc3_oKCNyJ05iRN0lyW7itSVqwt6lXo0gQ2ppvphuzf21mvPTfn5nnPe3gQugU8gm4e127lR0CAszM0gEiwkMeYnqMBJgKHhElyia7ado0xBibYAN1Pk7TMiyAt8texWsyCZDEOMvVcqbEq34PJ2zypXkqVL67Rhas3rb3520NUTSdlOg-zfKbSJAsNpVFXt8SYMkuEsyJ2AgQmlBhuWdNw5wwlsOSRlTEzvDYNBydtLbq3JOZGNpGjQ3TX39357dfBtnu93h78Z1epCchYCg4x66iHnjJ-27beOr3zq4_aHzVgfTKhTyb0r4kOhh7-Xm3s8R9SP01V0Wd-AOO8Wwg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2198976185</pqid></control><display><type>article</type><title>FACTOR CROWDING AND LIQUIDITY EXHAUSTION</title><source>Wiley Online Library Journals Frontfile Complete</source><source>Business Source Complete</source><creator>Marks, Joseph M. ; Shang, Chenguang</creator><creatorcontrib>Marks, Joseph M. ; Shang, Chenguang</creatorcontrib><description>Well‐known anomalies and stable patterns in equity returns are widely employed to guide stock selection. The use of overlapping multifactor models built on these patterns induces correlated trade across investors. A stock with a strong signal from a parsimonious multifactor stock selection model exhibits changes in trade activity, net order imbalances, lower volatility, lower liquidity level, and changes in liquidity comovement consistent with correlated trade. These results illustrate that correlated trading among investors can affect the liquidity and risk of the securities they trade, and imply that measures of portfolio liquidity risk that ignore these changes can understate risk.</description><identifier>ISSN: 0270-2592</identifier><identifier>EISSN: 1475-6803</identifier><identifier>DOI: 10.1111/jfir.12165</identifier><language>eng</language><publisher>Columbia: Wiley Subscription Services, Inc</publisher><ispartof>The Journal of financial research, 2019-03, Vol.42 (1), p.147-180</ispartof><rights>2019 The Southern Finance Association and the Southwestern Finance Association</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c3345-6b0035e27fe78f7170232c6e5dd6ffc321b64e985c6acd61f9ea7592906c9d4f3</citedby><cites>FETCH-LOGICAL-c3345-6b0035e27fe78f7170232c6e5dd6ffc321b64e985c6acd61f9ea7592906c9d4f3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fjfir.12165$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fjfir.12165$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1416,27923,27924,45573,45574</link.rule.ids></links><search><creatorcontrib>Marks, Joseph M.</creatorcontrib><creatorcontrib>Shang, Chenguang</creatorcontrib><title>FACTOR CROWDING AND LIQUIDITY EXHAUSTION</title><title>The Journal of financial research</title><description>Well‐known anomalies and stable patterns in equity returns are widely employed to guide stock selection. The use of overlapping multifactor models built on these patterns induces correlated trade across investors. A stock with a strong signal from a parsimonious multifactor stock selection model exhibits changes in trade activity, net order imbalances, lower volatility, lower liquidity level, and changes in liquidity comovement consistent with correlated trade. These results illustrate that correlated trading among investors can affect the liquidity and risk of the securities they trade, and imply that measures of portfolio liquidity risk that ignore these changes can understate risk.</description><issn>0270-2592</issn><issn>1475-6803</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2019</creationdate><recordtype>article</recordtype><recordid>eNp9kF1LwzAUhoMoOKc3_oKCNyJ05iRN0lyW7itSVqwt6lXo0gQ2ppvphuzf21mvPTfn5nnPe3gQugU8gm4e127lR0CAszM0gEiwkMeYnqMBJgKHhElyia7ado0xBibYAN1Pk7TMiyAt8texWsyCZDEOMvVcqbEq34PJ2zypXkqVL67Rhas3rb3520NUTSdlOg-zfKbSJAsNpVFXt8SYMkuEsyJ2AgQmlBhuWdNw5wwlsOSRlTEzvDYNBydtLbq3JOZGNpGjQ3TX39357dfBtnu93h78Z1epCchYCg4x66iHnjJ-27beOr3zq4_aHzVgfTKhTyb0r4kOhh7-Xm3s8R9SP01V0Wd-AOO8Wwg</recordid><startdate>20190301</startdate><enddate>20190301</enddate><creator>Marks, Joseph M.</creator><creator>Shang, Chenguang</creator><general>Wiley Subscription Services, Inc</general><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>20190301</creationdate><title>FACTOR CROWDING AND LIQUIDITY EXHAUSTION</title><author>Marks, Joseph M. ; Shang, Chenguang</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3345-6b0035e27fe78f7170232c6e5dd6ffc321b64e985c6acd61f9ea7592906c9d4f3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2019</creationdate><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Marks, Joseph M.</creatorcontrib><creatorcontrib>Shang, Chenguang</creatorcontrib><collection>CrossRef</collection><jtitle>The Journal of financial research</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Marks, Joseph M.</au><au>Shang, Chenguang</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>FACTOR CROWDING AND LIQUIDITY EXHAUSTION</atitle><jtitle>The Journal of financial research</jtitle><date>2019-03-01</date><risdate>2019</risdate><volume>42</volume><issue>1</issue><spage>147</spage><epage>180</epage><pages>147-180</pages><issn>0270-2592</issn><eissn>1475-6803</eissn><abstract>Well‐known anomalies and stable patterns in equity returns are widely employed to guide stock selection. The use of overlapping multifactor models built on these patterns induces correlated trade across investors. A stock with a strong signal from a parsimonious multifactor stock selection model exhibits changes in trade activity, net order imbalances, lower volatility, lower liquidity level, and changes in liquidity comovement consistent with correlated trade. These results illustrate that correlated trading among investors can affect the liquidity and risk of the securities they trade, and imply that measures of portfolio liquidity risk that ignore these changes can understate risk.</abstract><cop>Columbia</cop><pub>Wiley Subscription Services, Inc</pub><doi>10.1111/jfir.12165</doi><tpages>34</tpages></addata></record>
fulltext fulltext
identifier ISSN: 0270-2592
ispartof The Journal of financial research, 2019-03, Vol.42 (1), p.147-180
issn 0270-2592
1475-6803
language eng
recordid cdi_proquest_journals_2198976185
source Wiley Online Library Journals Frontfile Complete; Business Source Complete
title FACTOR CROWDING AND LIQUIDITY EXHAUSTION
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-13T00%3A45%3A16IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=FACTOR%20CROWDING%20AND%20LIQUIDITY%20EXHAUSTION&rft.jtitle=The%20Journal%20of%20financial%20research&rft.au=Marks,%20Joseph%20M.&rft.date=2019-03-01&rft.volume=42&rft.issue=1&rft.spage=147&rft.epage=180&rft.pages=147-180&rft.issn=0270-2592&rft.eissn=1475-6803&rft_id=info:doi/10.1111/jfir.12165&rft_dat=%3Cproquest_cross%3E2198976185%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2198976185&rft_id=info:pmid/&rfr_iscdi=true