search query: @author Trzcinka, C. A. / total: 4
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| Author: | Goyenko, R. Y. Holden, G. W. Trzcinka, C. A. |
| Title: | Do liquidity measures measure liquidity? |
| Journal: | Journal of Financial Economics
2009 : MAY, VOL 92:2, p. 153-181 |
| Index terms: | liquidity transaction costs assets pricing |
| Language: | eng |
| Abstract: | The article tests new liquidity measures against widely known and used measures. This is done by running horseraces using annual and monthly estimates of the measures against benchmarks, which are effective spread, realized spread and price impact, using NYSE TAQ data from 1993-2005 and Rule 605 data from 2001-2005. The results show that the new measures do better in estimating effective/realized spread, whereas Amihud, a measure introduced already in 2002, is better applicable when measuring the price impact. |
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