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Why is the Amihud (2002) Illiquidity Measure Priced? · Study

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PreprintWhy is the Amihud (2002) Illiquidity Measure Priced?

Xiaoxia Lou2013

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Preprintgreen2013

Why is the Amihud (2002) Illiquidity Measure Priced?

Xiaoxia Lou · Tao Shu

20 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1986Asset pricing and the bid-ask spread 2006The Cross‐Section of Volatility and Expected Returns 1993Differences of Opinion Make a Horse Race 2000Price Momentum and Trading Volume 2009Do liquidity measures measure liquidity?☆2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices 1994Market Statistics and Technical Analysis: The Role of Volume 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data

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2017Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?article · 17 shared references 2011The Volatility of Liquidity and Expected Stock Returnspreprint · 11 shared references 2011Turnover: Liquidity or Uncertainty?article · 10 shared references 2014The Empirical Analysis of Liquidityarticle · 9 shared references 2016A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Pricespreprint · 9 shared references 2019Measuring the multi-faceted dimension of liquidity in financial markets: A literature reviewarticle · 8 shared references

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Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2291942

openalex_workW2103201906

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