Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?

• 成果类型: Article
• 署名作者: Lou, Xiaoxia; Shu, Tao
• 署名单位: University of Delaware; University System of Georgia; University of Georgia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx072
• 发表日期: 2017
• 页码: 4481
• 关键词: expected stock returns; cross-section; liquidity risk; premium; illiquidity; uncertainty; INFORMATION; COMMONALITY; divergence; volatility

摘要

The return premium associated with the Amihud (2002) measure is generally considered a liquidity premium that compensates for price impact. We find that the pricing of the Amihud measure is not attributable to the construction of the return-to-volume ratio intended to capture price impact, but is driven by the trading volume component. Additionally, the high-frequency price impact and spread benchmarks are priced only in January and do not explain the pricing of the trading volume component of the Amihud measure. Additional analyses suggest that the volume effect on stock return is likely caused by mispricing, not by compensation for illiquidity.