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 …-section of expected returns for NYSE-listed stocks: we obtain monthly liquidity premium estimates of 5.3bp for expected returns …

Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …

We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature …

measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order … to accommodate for the ‘different dimensions of liquidity' (Amihud et al., 2005) through a single ‘unified' market …-wide aggregate liquidity metric. The weights for the multiple dimensions are time-varying and depend on three components: the …

We explore a broad range of high-frequency liquidity measures for the Chinese stock market, based on a comprehensive … summarize their liquidity levels and key distributional properties. Hypothesis tests show that order interarrival times follow … Chinese stock market. We analyze the intraday and cross-sectional patterns of liquidity, and find novel intraday periodicities …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …