Trading Costs and Returns for US Equities: The Evidence from Daily Data

By Joel Hasbrouck. 2005

187 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/18a5093bc17e654571e6247ebeed9c87ddc3d0a4

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Citations in the corpus

High frequency market microstructure noise estimates and liquidity measures (2009, methodology): “From Hasbrouck (2005), we obtain five liquidity measures: cLogMean i,t (Gibbs estimate of the log effective cost), cMdmLogz i,t (Moment estimate of the log effective cost, infeasible set to 0), I2i,t (square root variant of the Amihud illiquidity ratio), L2i,t (square root variant of liquidity…”
Deviations from Put-Call Parity and Stock Return Predictability (2010, unknown): “All three measures are described in detail in Hasbrouck (2005).”
Liquidity and Autocorrelations in Individual Stock Returns (2006, unknown): “The correlation between returns and 5 Hasbrouck (2003) compares effective and price impact measures estimated from daily data to those from high frequency data and finds that the Amihud (2002) measure is the most highly correlated with trade-based measures.”
Stock splits, trading continuity, and the cost of equity capital☆ (2009, background): “Hasbrouck (2005) suggests that Gibbs estimate might not be reliable if the observation number of daily returns used in estimation is less than 50.”
Does Asymmetric Information Drive Capital Structure Decisions (2009, unknown): “Lastly, concordance across these measures is often modest (e.g., Clarke and Shastri 2001; and Hasbrouck 2005).”
Pricing the commonality across alternative measures of liquidity (2008, unknown): “Hasbrouck (2005) finds that Ai,t is better behaved than the alternative measure.”
Latent liquidity: A new measure of liquidity, with an application to corporate bonds ☆ (2008, background): “The relationship between these measures (and their variants) and traditional microstructure-based measures is investigated by Hasbrouck (2005), who shows that the Amihud measure is a robust measure of price impact.”
What Are the Best Liquidity Proxies for Global Research (2017, methodology): “Hasbrouck (2009) tests how three annual percent-cost proxies and one annual cost-per-volume proxy are related to the benchmarks: percent effective spread and the slope of the price function lambda as computed from high-frequency U.”
Privatization and Stock Market Liquidity (2007, unknown): “Indeed, the Amihud index is claimed to better capture market liquidity ( Hasbrouck, 2003 ).”
Theory-Based Illiquidity and Asset Pricing (2009, unknown): “Hasbrouck (2005) provides a comprehensive set of estimates of these and other measures, and we will not duplicate his efforts by describing these measures in detail.”