Title: Stock Resiliency and Expected Returns
Speaker: Lin Peng, Professor of Economics and Finance, Zicklin School of Business, Baruch College/CUNY
Time: 4:00-5:30 PM, Tuesday, July 14.
Place: Room 801
Abstract: This paper examines a simple measure of stock resiliency based on intraday return serial correlations. Stock resiliency is an important aspect of liquidity and a stock that lacks resiliency should be associated with higher expected returns. We find that long-short portfolios based on resiliency generate a monthly return differential of 37 basis points for the equal-weighted portfolios and 69 basis points for the value-weighted portfolios. The effect of resiliency on future returns is robust and is not attributable to an extensive list of control variables. We further show that the pricing effect of resiliency is particularly important during periods of greater stock specific or market wide uncertainty, and in periods during which markets are under stress.
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