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| Author: | Breen, W. J. Hodrick, L. S. Korajczyk, R. A. |
| Title: | Predicting Equity Liquidity |
| Journal: | Management Science
2002 : APR, VOL. 48:4, p. 470-483 |
| Index terms: | LIQUIDITY EQUATIONS EQUALITY ANALYTICAL REVIEW |
| Language: | eng |
| Abstract: | In this paper the authors develop a measure of liquidity, price impact, which quantifies the change in a firm's stock price associated with its observed net trading volume. For a large set of institutional trades the authors compare out-of-sample, characteristic-based estimates of price impact to actual price impacts. Predictive predetermined firm haracteristics, chosen to proxy for the severity of adverse selection in the equity market, the non-information-based costs of making a market in the stock, and the extent of shareholder heterogeneity, include relative size, historical relative trading volume, institutional holdings, and the inverse of the stock price. |
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