Do liquidity measures measure liquidity?☆

• 1 May 2009
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 92  (2) , 153-181
• https://doi.org/10.1016/j.jfineco.2008.06.002

Abstract

Keywords

• C15
• G12
• G20
• LIQUIDITY
• TRANSACTION COSTS
• EFFECTIVE SPREAD
• PRICE IMPACT
• ASSET PRICING