In this paper we (a) quantify equity liquidity using a measure of price impact, the change in a firm's stock price associated with its observed net trading volume; (b) relate the measured price impact to a set of predetermined firm characteristics that serve as proxies for the severity of adverse...

One under-examined cost of trading is illiquidity. This paper measures equity illiquidity as the change in a firm's stock price associated with its observed trading volume. Increasing the magnitude of net turnover during a 5-minute interval by 0.1% of the shares outstanding produces an average...