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Article

Наблюдаемая и ненаблюдаемая ликвидность на российском рынке акций

The present study attempts to identify explicit and implicit liquidity in the Russian stock market and to assess its impact on a stock’s expected returns. Explicit liquidity is approximated along two projections which are trading costs and trading activity. Implicit liquidity is seen as embedded in such parameter as a company’s size. It is assumed that sensitivity of expected returns to changes in the state of liquidity is lower (has a lower slope of the regression coefficient) for large caps. The obtained results for an ex ante cross-sectional regression model evidence in favour of explanatory power of liquidity. However, the direction of its impact on a stock’s expected returns is diametrically opposite to the one suggested by theory.