Trade-Time Measures of Liquidity
| Autor: | Ryan J. Davies, Yashar H. Barardehi, Dan Bernhardt |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
050208 finance Financial economics 05 social sciences Equity (finance) Liquidity crisis Monetary economics Liquidity risk Liquidity premium Market liquidity Accounting 0502 economics and business Financial crisis Economics 050207 economics Explanatory power Accounting liquidity Finance |
| Zdroj: | The Review of Financial Studies. 32:126-179 |
| ISSN: | 1465-7368 0893-9454 |
| Popis: | Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies for trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures better capture institutional trading costs and better explain the cross-section of returns than do standard measures, especially in recent years. Despite improvements in measures of market quality, expected trading costs have explanatory power for the cross-section of expected returns: we obtain monthly liquidity premium estimates of 5.3 bp for expected returns and 2.4 bp for risk-adjusted returns. Estimated premiums rise after the financial crisis and remain high thereafter. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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