Abstract
Abstract. This article compares the properties of several common liquidity measures including the bid-ask spread, the liquidity ratio and firm size. We also use the proportional hazard model to develop a new measure, the relative odds ratio, based on the volume necessary to move prices by a predetermined amount. Although each measure displays a liquidity premium, a composite measure better explaims expected returns, suggesting that liquidity is a multidimensional phenomenon.
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Kluger, B.D., Stephan, J. Alternative Liquidity Measures and Stock Returns. Review of Quantitative Finance and Accounting 8, 19–36 (1997). https://doi.org/10.1023/A:1008288519675
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DOI: https://doi.org/10.1023/A:1008288519675