Transitory prices, resiliency, and the cross-section of stock returns

Jinyong Kim, Yongsik Kim

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


This paper suggests a new measure of stock market resiliency and demonstrates that resiliency is a dimension of liquidity that generates cross-sectional variations in stock returns. Resiliency is defined as quickness of the transitory price recovery from a liquidity shock. Using the Beveridge-Nelson decomposition and the spectral analysis in the frequency domain, we measure resiliency as the speed of mean reversion of transitory price components. Our main finding is that a zero-investment portfolio long in low-resiliency stocks and short in high-resiliency stocks earns significant abnormal returns. We also find that our resiliency measure is complementary to existing liquidity measures.

Original languageEnglish
Pages (from-to)243-256
Number of pages14
JournalInternational Review of Financial Analysis
StatePublished - May 2019


  • Liquidity
  • Resiliency
  • Transitory prices


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