| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 960994 | Journal of Financial Markets | 2014 | 38 Pages |
Abstract
⺠Using intradaily order flows, we estimate a set of price-impact parameters based on four different models. ⺠Price impact as a measure of illiquidity is priced in the cross-section of stock returns. ⺠No low-frequency-based proxies can parallel the price-impact parameters. ⺠Price impact can glean additional information out of high-frequency order flows, doing a better job in capturing the return premium for illiquidity.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sahn-Wook Huh,