Illiquidity and stock returns: cross-section and time-series effects
BeginnerLFTEmpiricalFree to readTestable with your data
The Amihud illiquidity ratio (|return| / traded value): a dead-simple liquidity measure from daily data, plus evidence that illiquidity is priced.
At a glance
- Level
- Beginner: No prior microstructure or stochastic calculus needed
- Horizon
- LFT
- Data needed
- Daily bars Set what data you have
- Themes
- MicrostructureFactors & momentum
- Assets
- Equities
- Market
- US