Abstract

http://ssrn.com/abstract=1108553
 
 

References (49)



 
 

Citations (96)



 


 



Do Measures of Liquidity Measure Liquidity?


Ruslan Goyenko


McGill University - Desautels Faculty of Management

Craig W. Holden


Indiana University - Kelley School of Business - Department of Finance

Charles Trzcinka


Indiana University - Kelley School of Business - Department of Finance

February 21, 2008


Abstract:     
Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many countries. We introduce new liquidity measures. We run horseraces of both monthly and annual liquidity measures. Our benchmarks are effective spread, realized spread, and price impact based on both TAQ and Rule 605 data, including the decimals era. We identify the best proxies in each case and find that the new liquidity measures win the majority of horseraces

Number of Pages in PDF File: 68

Keywords: Liquidity, transaction costs, effective spread, price impact, asset pricing.

JEL Classification: C15, G12, G20

working papers series


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Date posted: March 24, 2008  

Suggested Citation

Goyenko, Ruslan and Holden, Craig W. and Trzcinka, Charles, Do Measures of Liquidity Measure Liquidity? (February 21, 2008). Available at SSRN: http://ssrn.com/abstract=1108553 or http://dx.doi.org/10.2139/ssrn.1108553

Contact Information

Ruslan Goyenko
McGill University - Desautels Faculty of Management ( email )
1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
Craig W. Holden
Indiana University - Kelley School of Business - Department of Finance ( email )
Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-3383 (Phone)
812-855-5875 (Fax)
HOME PAGE: http://www.kelley.iu.edu/cholden

Charles Trzcinka (Contact Author)
Indiana University - Kelley School of Business - Department of Finance ( email )
Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-9908 (Phone)
812-855-5875 (Fax)

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