Price impact and asset pricing

► Using intradaily order flows, we estimate a set of price-impact parameters based on four different models. ► Price impact as a measure of illiquidity is priced in the cross-section of stock returns. ► No low-frequency-based proxies can parallel the price-impact parameters. ► Price impact can glean additional information out of high-frequency order flows, doing a better job in capturing the return premium for illiquidity.