Low Volume Could Doom Factor InvestingMark Melin
With MiFID II approaching this January, market liquidity is a concern, a report from Morgan Stanley notes. So how does liquidity impact factor investing? Brian Hayes and his quantitative research team at the investment bank broke down how liquidity factors impacted stock price performance, discovering some regional and factor category differentials that provides a roadmap to enhanced entry and exit points. But it also revealed that under certain circumstances liquidity does not . . .
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