Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊

By Y. Amihud. 2012

2,797 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/290aba79becee1d966832cbd08ed44382fc6be45

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Citations in the corpus

Understanding FX Liquidity (2015, methodology): “The stock market liquidity is based on the PCA across price impact proxies of the monthly Amihud (2002) measure (from Karolyi, Lee, and Dijk 2012), calculated as the value-weighted average of all individual stock in each country.”
Textual analysis in finance (2019, methodology): “ARit is defined as the residuals of the Fama-French three-factor model, ILLIQ is the illiquidity measure from Amihud (2002), B/M is the book-to-market ratio, Leverage is the ratio of total assets to the market value of a firm, Size is the log of market value in millions of reais, Turnover is the tur”
The impact of liquidity risk on the yield spread of green bonds (2018, methodology): “Both Bagehot (1971) and Amihud & Mendelson (1980) argue that transaction costs and adverse selection costs may trigger illiquidity and cause a liquidity premium. To this end, we use two alternative liquidity measures in order to analyze effects of liquidity shortage on bond yield spreads: the LOT li”
Corporate governance reform and risk-taking: Evidence from a quasi-natural experiment in an emerging market (2020, methodology): “First, we use the Amihud (2002) Illiquidity Ratio (ILR) as measured by the annual average ratio of absolute 27 daily return to the daily trading volume.”
Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015, methodology): “This includes the number of intraday transactions, the measure of illiquidity proposed in Amihud (2002), and the number of analysts following a stock (see Arbel and Strebel (1982)).”
Hedging Climate Change News (2019, methodology): “Following Amihud (2002) and many others, we exclude penny stocks, defined as stocks with a price below $5 at the time of portfolio formation.”
Does corporate governance quality affect default risk? The role of growth opportunities and stock liquidity (2018, background): “Amihud (2002) illiquidity estimate (AMIHUD), a low frequency proxy, is used to measure the daily price impact of the order flow—the premium that a buyer pays or the discount that a seller concedes when executing a market order—that results from inventory and adverse selection costs.”
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? (2018, methodology): “…traded to number of shares outstanding over the last month of the ranking period, volatility is total return volatility calculated using daily data over the last month of the ranking period, and Amihud illiquidity is Amihud (2002) illiquidity measure calculated using data over the last month.”
Independent Director Reputation Incentives and Stock Price Informativeness (2017, methodology): “…that idiosyncratic volatility is associated with noise rather than firm-specific information (Dasgupta et al., 2010), we proxy for price informativeness using the illiquidity measure of Amihud (2002) in Column 9 and the probability of informed trading of Easley and O’Hara (2004) in Column 10.”
The cash conversion cycle spread (2019, methodology): “ILLIQ Illiquidity measure as in Amihud (2002) based on daily data over month t-1.”
Socially Responsible Funds and Market Crises (2014, methodology): “Similar to Amihud (2002), we calculate Illiquidity on a daily basis [|Return|÷ (Price*1000*Volume)], which reflects the price change induced by a thousand dollar volume of trades.”