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Stats › Backtesting et preuves › Liquidity anomalies

Ninety three per cent of published liquidity anomalies fail replication

Illiquidity, one month hold
1.31
Illiquidity, six month hold
1.73
Illiquidity, twelve month hold
1.99
Share turnover, all horizons
0.60

t statistics on the high minus low decile return for liquidity based sorts, January 1967 to December 2014, monthly deciles formed on exchange based breakpoints with value weighted returns. The twelve month figure of 1.99 is described in the paper as marginally significant. The turnover row is an upper bound: the paper reports that its returns of minus 0.1 to minus 0.15 per cent a month are all within 0.6 standard errors of zero.

Of 102 trading friction variables re run with value weighted returns and exchange based breakpoints, 95 are insignificant at the five per cent level. The illiquidity measure itself returns 0.28 per cent a month with a t statistic of 1.31 at a one month holding period.

95 of 102, or 93%Trading friction variables that fail at 5 per cent
0.28% a month, t = 1.31Illiquidity measure, one month holding
0.42% a month, t = 1.99The same, twelve month holding
within 0.6 standard errors of zeroShare turnover, all horizons

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