Low Volume Could Doom Factor Investing

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 play a part in rising or falling factor performance.

Factor investing: Liquidity does not impact the US to the same degree as it does other global regions

Considering market capitalization and quantitative factors in...