Latent liquidity: A new measure of liquidity, with an application to corporate bonds
提出一种基于投资者持有份额加权换手率的流动性度量方法“潜在流动性”，适用于交易稀疏的市场，并发现其对频繁交易债券的交易成本和价格冲击有预测能力。
We present a new measure of liquidity known as “latent liquidity ” and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, where the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. This measure exhibits relationships with bond characteristics similar to those of other trade-based measures. For bonds that trade frequently, our measure has predictive power for both transaction costs and the price impact of trading, over and above trading activity and bond-specific characteristics thought to be related to liquidity. We are grateful to Peter Hecht and Jeffrey Sutthoff for their unstinting help and advice in putting together the databases for this paper. We thank Craig Emrick, Lasse Pedersen,and Caroline Shi for helpful suggestions on previous versions of the paper. We acknowledge, with thanks, comments from an anonymous referee and participants