Construct · 1 fields · 1 citations

amihud illiquidity: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

a stock-level illiquidity measure equal to average absolute daily return per dollar of trading volume, used to show that illiquidity predicts returns.

In asset pricing, amihud illiquidity refers to a stock-level illiquidity measure equal to average absolute daily return per dollar of trading volume, used to show that illiquidity predicts returns. This meaning comes from Amihud (2002) in Journal of Financial Markets.[1]

Unit
Recovery means
Measured by

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Nearby constructs

absolute2 fields · 2 citationsjingle · one word, two constructs asset2 fields · 2 citationsjingle · one word, two constructs measure2 fields · 4 citationsjingle · one word, two constructs

References

Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56. https://doi.org/10.1016/s1386-4181(01)00024-6

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