Journal article
Liquidity characteristics of market anomalies and institutional trading
Journal of financial economics, Vol.179, 104254
05/2026
DOI: 10.1016/j.jfineco.2026.104254
Abstract
We find that market anomalies exhibit heterogeneous liquidity characteristics — long–short portfolios based on long-horizon (short-horizon) anomalies have liquidity-provision (liquidity-demanding) characteristics. Consistent with such liquidity characteristics, institutional investors tend to trade in the wrong (right) direction of long-horizon (short-horizon) anomalies. Further analysis shows that exogenous liquidity factors and institutional liquidity preferences have causal effects on the observed institutional trading patterns. Finally, despite the perception that liquidity improves market efficiency, we find that liquidity can exacerbate the magnitude of anomalies through its influence on institutional trading.
Details
- Title: Subtitle
- Liquidity characteristics of market anomalies and institutional trading
- Creators
- Charles Cao - Chinese University of Hong KongBing Liang - University of Massachusetts AmherstTong Yao - Tippie College of Business, University of Iowa, United States of AmericaAndrew Zhang - University of Nevada, Las Vegas
- Resource Type
- Journal article
- Publication Details
- Journal of financial economics, Vol.179, 104254
- DOI
- 10.1016/j.jfineco.2026.104254
- ISSN
- 0304-405X
- Publisher
- Elsevier B.V
- Language
- English
- Electronic publication date
- 02/23/2026
- Date published
- 05/2026
- Academic Unit
- Finance
- Record Identifier
- 9985139483402771
Metrics
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