The Night and Day of Amihud’s (2002) Liquidity Measure
研究发现Amihud流动性指标因包含隔夜收益而产生测量误差，改用开盘至收盘收益后，该指标与交易成本的相关性提高8%-37%，并能更准确解释股票收益的横截面差异，使流动性溢价估计值翻倍。
Abstract Amihud’s stock (il)liquidity measure averages daily ratios of the absolute close-to-close return to dollar volume, including overnight returns. Our modified measure uses open-to-close returns matching return and trading volume measurement windows. It is more strongly correlated with trading-cost measures (by 8%–37%) and better explains cross-sections of returns, doubling estimated liquidity premiums. Using nonsynchronous trading near close, we show overnight returns are primarily information driven: including them in Amihud’s proxy for price impacts of trading magnifies measurement error, understating liquidity premiums. Our modification helps wherever Amihud’s measure is required. Our measures are publicly available for 1964–2019 and can be updated. Received June 2, 2020; editorial decision September 11, 2020 by Editor Jeffrey Pontiff.