Do Liquidity Measures Measure Liquidity

By Ruslan Goyenko, Craig W. Holden, Charles Trzcinka. 2009

1,335 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/90cd7930b52474fba75b0155b3bfa76b46f54d80

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Citations in the corpus

A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices (2012, positive): “Goyenko, Holden, and Trzcinka (2009) show that their assumed relation between spreads and the effective tick size allows researchers to use price clustering to infer spreads.”
Product Market Power and Stock Market Liquidity (2011, positive): “…quoted spread, and effective spread.2 We first examine changes in 2Using high frequency liquidity benchmarks derived from TAQ and Rule 605 data, Goyenko, Holden, and Trzcinka (2009) find that Hasbrouck’s (2009) percentage spread and Amihud’s (2002) price impact are accurate measures of…”
Illiquidity Premia in the Equity Options Market (2018, neutral): “[44] Goyenko, R.”
Understanding FX Liquidity (2015, methodology): “Several studies compare lowfrequency and high-frequency liquidity measures for stocks (Hasbrouck 2009; Goyenko, Holden, and Trzcinka 2009; Holden 2009; Fong, Holden, and Trzcinka 2011) and commodities (Marshall, Nguyen, and Visaltanachoti 2012).”
Is There a Dark Side to Exchange Traded Funds? An Information Perspective (2017, positive): “To test H1, we analyze the relation between changes in ETF ownership and changes in two proxies of liquidity that capture trading costs: (1) bid-ask spreads, and (2) an adjusted measure of the price impact of trades (Goyenko et al. 2009).”
The Effect of Liquidity on Governance (2011, methodology): “Third, a 13D is typically accompanied by credit downgrades (Klein and Zur 2011), higher bank loan spreads, and shorter bank loan maturities (both Li and Xu 2011). These effects harm the firm and thus the value of the blockholder’s stake. Fourth, filing a 13D signals that the blockholder believes tha”
Does corporate governance quality affect default risk? The role of growth opportunities and stock liquidity (2018, methodology): “Prior stock liquidity research normally does not rely on one single measure of stock liquidity because each measure proxies different dimensions and has its own limitations (Goyenko et al., 2009); therefore, we use three proxies for stock liquidity (as a measure of information asymmetry) that captur”
Hedge Fund Contagion and Liquidity Shocks (2010, neutral): “Other common liquidity measures include Amihud (2002), P ´ astor and Stambaugh (2003), and Acharya and Pedersen (2005) ; we choose the measure based on recent work by Goyenko, Holden, and Trzcinka (2009) suggesting that bid-ask spreads are the most appropriate measure of liquidity.”
Understanding Commonality in Liquidity Around the World (2011, background): “Goyenko, Holden, and Trzcinka (2009) investigate to what extent different liquidity proxies capture high-frequency measures of transaction costs based on U.S. data.”