Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

By Y. Amihud. 2002

6,016 citations recorded by the source corpus.

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Citations in the corpus

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, positive): “For example, Amihud (2002) proposes the ratio of absolute return to dollar trading volume as a measure of illiquidity.”
On the Predictability of Chinese Stock Returns (2010, positive): “, past 12month stock returns); (ii) three conventional value indicators: earnings-to-price ratio, cash flow-to-price ratio, and sales growth; (iii) two measures for earnings quality: accounting accruals and net operating assets; (iv) measures of firms’ tangible and intangible investments, including ”
Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition (2011, background): “(14)See, for example, the survey by Amihud, Mendelson and Pedersen (2005) for references.”
The effects of proprietary information on corporate disclosure and transparency: Evidence from trade secrets (2018, neutral): “…bid-ask spread: 𝐵𝐵𝐸𝐸𝑀𝑀 − 𝐴𝐴𝐴𝐴𝐴𝐴 𝑆𝑆𝐷𝐷𝐸𝐸𝑀𝑀𝐴𝐴𝑀𝑀 = 1 𝐷𝐷𝐴𝐴𝐴𝐴𝐴𝐴𝑖𝑖,𝑡𝑡 � 𝐴𝐴𝐴𝐴𝐴𝐴𝑖𝑖,𝑡𝑡,𝑑𝑑 − 𝐵𝐵𝐸𝐸𝑀𝑀𝑖𝑖,𝑡𝑡,𝑑𝑑 𝑃𝑃𝐸𝐸𝐸𝐸𝐴𝐴𝑀𝑀𝑖𝑖,𝑡𝑡,𝑑𝑑 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑖𝑖,𝑡𝑡 𝑑𝑑=1 × 100 where 𝐴𝐴𝐴𝐴𝐴𝐴𝑖𝑖,𝑡𝑡,𝑑𝑑 (𝐵𝐵𝐸𝐸𝑀𝑀𝑖𝑖,𝑡𝑡,𝑑𝑑)…”
The Illiquidity Premium: International Evidence (2015, positive): “For other countries, we use the ratio of the book-to-market value of equity at June of the previous year obtained from Datastream. with the findings in Amihud (2002) and in Ang, Hodrick, Xing, and Zhang (2009).”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, positive): “Eleswarapu and Reinganum (1993) find that the association between bid/ask spreads and stock returns is mainly confined to the month of January, a result hard to reconcile with the underlying Amihud and Mendelson (1986) arguments.”
On the Information Role of Stock Recommendation Revisions (2009, background): “Illiquid is stock illiquidity measured following Amihud (2002).”
The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment (2015, methodology): “To investigate the effect of liquidity on institutional monitoring, we employ Amihud (2002) illiquidity (also known as the Amihud price impact) to measure the stock liquidity depth.”
The Divergence of Liquidity Commonality in the Cross-Section of Stocks (2007, methodology): “(1) In addition, following Chordia, Roll, and Subrahmanyam (2000) and Amihud (2002), we apply the following data filters.”
How are Shorts Informed? Short Sellers, News, and Information Processing (2012, neutral): “Using this data, we calculate the Amihud (2002) Illiquidity measure defined as 10(6) * |retit| / volumeit, where volumeit is the dollar volume, and we calculate the daily bid-ask spread as a percentage of the closing mid-price.”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, methodology): “Illiquidity is the average of the daily Amihud (2002) illiquidity measure over the previous month.”
Measuring Market Liquidity: An Introductory Survey (2011, positive): “According toAmihud and Mandelson (1986b), turnover is negatively related to the illiquidity costs of stocks. Datar, Naik and Radcliffe (1998) propose a test for the role of liquidity that is different from the one proposed by Amihud and Mandelson (1986b). In particular, they use the turnover rate as”
The Euro Interbank Repo Market (2016, positive): “We obtain similar results when using the intraday range instead of realized volatility as a measure of price dispersion and the illiquidity measures of Amihud (2002) and Corwin and Schultz (2012) instead of Roll (1984).”
Measuring Liquidity in Bond Markets (2016, positive): “For price impact, we employ a daily version of the Amihud (2002) measure (P_Amihud) as well as the Pastor and Stambaugh (2003) proxy, which measures price reversals after trading days with large volumes within a regression framework (P_PastorStambaugh).”