市场流动性
经济
代理(统计)
度量(数据仓库)
利比里亚元
库存(枪支)
计量经济学
金融经济学
货币经济学
统计
财务
数学
计算机科学
数据库
机械工程
工程类
作者
Yashar H. Barardehi,Dan Bernhardt,Thomas Ruchti,Marc Weidenmier
出处
期刊:The Review of Asset Pricing Studies
[Oxford University Press]
日期:2021-03-01
卷期号:11 (2): 269-308
被引量:30
标识
DOI:10.1093/rapstu/raaa022
摘要
Abstract Amihud’s stock (il)liquidity measure averages daily ratios of the absolute close-to-close return to dollar volume, including overnight returns. Our modified measure uses open-to-close returns matching return and trading volume measurement windows. It is more strongly correlated with trading-cost measures (by 8%–37%) and better explains cross-sections of returns, doubling estimated liquidity premiums. Using nonsynchronous trading near close, we show overnight returns are primarily information driven: including them in Amihud’s proxy for price impacts of trading magnifies measurement error, understating liquidity premiums. Our modification helps wherever Amihud’s measure is required. Our measures are publicly available for 1964–2019 and can be updated. (JEL G12, G14) Received June 2, 2020; editorial decision September 11, 2020 by Editor Jeffrey Pontiff.
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