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

被引：13

作者：

Harris, Larry ^{[1
]}

Amato, Andrea ^{[2
]}

机构：

[1] USC Marshall Sch Business, Los Angeles, CA 90089 USA

[2] UC Berkeley Haas Sch Business, Berkeley, CA USA

来源：

CRITICAL FINANCE REVIEW | 2019年 / 8卷 / 1-2期

关键词：

Liquidity; Asset Pricing; Replication Studies; Price Volume Relations; Transaction Costs;

D O I：

10.1561/104.00000058

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper replicates and extends the Amihud (2002) study that links liquidity to asset pricing. Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents. The same methods applied to more recent data show a much weaker relation between liquidity and asset pricing. Finally, we compare the explanatory power of Amihud's illiquidity measure to that of other simple measures that use the same data for their calculation. We find that the Amihud illiquidity measure is no better than substantially simpler measures.

引用

页码：173 / 202

页数：30

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