Florackis, Chris; Gregoriou, Andros; Kostakis, Alexandros - In: Journal of Banking & Finance 35 (2011) 12, pp. 3335-3350
This study proposes a new price impact ratio as an alternative to the widely used Amihud’s (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Using daily data from all stocks listed on the...