Do liquidity measures measure liquidity?

• 成果类型: Article
• 署名作者: Goyenko, Ruslan Y.; Holden, Craig W.; Trzcinka, Charles A.
• 署名单位: Indiana University System; IU Kelley School of Business; Indiana University Bloomington; McGill University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.06.002
• 发表日期: 2009
• 页码: 153-181
• 关键词: liquidity; transaction costs; Effective spread; Price impact; asset pricing

摘要

Given the key role of liquidity in finance research, identifying high quality proxies based oil daily (as opposed to intraday) data Would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we run horseraces of annual and monthly estimates of each measure against liquidity benchmarks. Our benchmarks are effective spread, realized spread, and price impact based on both Trade and Quote (TAQ) and Rule 605 data. We find that the new effective/realized spread measures win the majority of horseraces, while the Amihud [2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31-56] measure does well measuring price impact. (C) 2009 Published by Elsevier B.V.