Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures (i) better capture institutional trading costs; and...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...

We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and...

The recent absence of a discernible liquidity premium in cross-sectional stock returns despite non-trivial trade execution costs is a puzzle. We resolve this puzzle using a proxy for institutional trading costs that exploits the unique institutional features of modern U.S. equity markets....