adverse selection

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.