Do liquidity measures measure liquidity?

被引：713

作者：

Goyenko, Ruslan Y. ^{[2
]}

Holden, Craig W. ^{[1
]}

Trzcinka, Charles A. ^{[1
]}

机构：

[1] Indiana Univ, Kelley Sch Business, Bloomington, IN 47405 USA

[2] McGill Univ, Desautels Fac Management, Montreal, PQ H3A 1G5, Canada

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 92卷 / 02期

关键词：

Liquidity; Transaction costs; Effective spread; Price impact; Asset pricing; BID-ASK SPREAD; STOCK; MOMENTUM; RETURNS; NASDAQ; COSTS; ILLIQUIDITY; RISK;

D O I：

10.1016/j.jfineco.2008.06.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Given the key role of liquidity in finance research, identifying high quality proxies based oil daily (as opposed to intraday) data Would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we run horseraces of annual and monthly estimates of each measure against liquidity benchmarks. Our benchmarks are effective spread, realized spread, and price impact based on both Trade and Quote (TAQ) and Rule 605 data. We find that the new effective/realized spread measures win the majority of horseraces, while the Amihud [2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31-56] measure does well measuring price impact. (C) 2009 Published by Elsevier B.V.

引用

页码：153 / 181

页数：29

共 47 条

[1] Asset pricing with liquidity risk
Acharya, VV
Pedersen, LH
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) : 375 - 410
[2] Illiquidity and stock returns: cross-section and time-series effects
Amihud, Y
[J]. JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) : 31 - 56
[3] Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange
Amihud, Y
Mendelson, H
Lauterbach, B
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1997, 45 (03) : 365 - 390
[4] [Anonymous], 2003, MACROECONOMIC SOURCE
[5] Liquidity and expected returns: Lessons from emerging markets
Bekaert, Geert
Harvey, Campbell R.
Lundblad, Christian
[J]. REVIEW OF FINANCIAL STUDIES, 2007, 20 (06) : 1783 - 1831
[6] Short-term traders and liquidity: a test using Bombay Stock Exchange data
Berkman, H
Eleswarapu, VR
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1998, 47 (03) : 339 - 355
[7] BOEHMER E, 2003, PUBLIC DISCLOSURE PR
[8] Does insider trading impair market liquidity? Evidence from IPO lockup expirations
Cao, C
Field, LC
Hanka, G
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2004, 39 (01) : 25 - 46
[9] Momentum strategies
Chan, LKC
Jegadeesh, N
Lakonishok, J
[J]. JOURNAL OF FINANCE, 1996, 51 (05) : 1681 - 1713
[10] Commonality in liquidity
Chordia, T
Roll, R
Subrahmanyam, A
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2000, 56 (01) : 3 - 28

← 1 2 3 4 5 →