HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY
综述了低频流动性测度方法，将其分为交易成本、交易量、价格冲击和多维四类，并评估它们捕捉高频基准流动性的能力，对研究流动性与资产定价的学者有参考价值。
Abstract Researchers have various ways to measure liquidity but most of them come with both merits and demerits. This study provides a literature review of low‐frequency liquidity measures with a primary focus on liquidity measurement as well as its implication on asset pricing. Based on the dimension it captures, a range of existing low‐frequency measures are divided into four categories of liquidity proxies including transaction cost, volume, price impact, and multidimension‐based measures. We review some well‐established liquidity proxies, a new bid–ask spread estimator and price impact ratios proposed recently. Finally, we discuss how good low‐frequency liquidity measures are at capturing standard liquidity benchmarks, which are constructed from high‐frequency intraday data.