期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 92, 期 2, 页码 153-181出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2008.06.002
关键词
Liquidity; Transaction costs; Effective spread; Price impact; Asset pricing
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.
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