NO.PZ2023101902000063
问题如下：
Which of the following variables is not an illiquidity factor that affects equity returns?
选项：
A.Measures of adverse selection.
B.The number of recorded positive returns.
C.Turnover.
D.Volume.
解释：
There are several variables related to illiquidity that are shown to impact equity returns. They are bid-ask spreads, volume, turnover, volume measured by whether the trade was initiated by buyers or sellers, the ratio of absolute returns to dollar volume, the price impact of large trades, informed trading measures (i.e., adverse selection), quote size and depth, the frequency of trades, the number of zero returns, and return autocorrelations. It is not the number of recorded positive returns, but the number of recorded zero returns, that are relevant.老师，return auto correlation这里不太明白，为什么今天涨明天还涨，今天跌明天还跌，市场方向难调整是缺乏流动性，继续涨肯定是市场还有大量买入，继续跌肯定是市场还有大量抛，这是有流动性吧？
