Trade-Time Measures of Liquidity
针对标准流动性指标在近年股市微观结构变化下失效的问题，提出了基于交易时间的流动性度量方法，能更好反映机构交易成本并解释预期收益的横截面差异，估计出月度流动性溢价为5.3个基点。
Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies for trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures better capture institutional trading costs and better explain the cross-section of returns than do standard measures, especially in recent years. Despite improvements in measures of market quality, expected trading costs have explanatory power for the cross-section of expected returns: we obtain monthly liquidity premium estimates of 5.3 bp for expected returns and 2.4 bp for risk-adjusted returns. Estimated premiums rise after the financial crisis and remain high thereafter. \n \n