topic Re: Amihud's Illiquidity in SAS Programming

Amihud's Illiquidity

Theo_Gh — Wed, 18 Jan 2017 08:51:33 GMT

Dear Everyone, I have to calculate Amihud's illiquidity measure and was wondering if anyone could help me out. Please, I just started learning SAS and this is a project work for my class. Thanks, Theo

Re: Amihud's Illiquidity

Reeza — Wed, 18 Jan 2017 08:59:10 GMT

What is Amihuds illiquidity?

Re: Amihud's Illiquidity

Theo_Gh — Wed, 18 Jan 2017 09:40:15 GMT

The illiquidity measure used by Amihud in his paper, " Illiquidity and stock returns: cross-section and time-series effects"

Re: Amihud's Illiquidity

ballardw — Wed, 18 Jan 2017 14:53:58 GMT

Please post the algorithm or at least a reference to the paper.

Re: Amihud's Illiquidity

Theo_Gh — Wed, 18 Jan 2017 16:19:07 GMT

http://archive.nyu.edu/bitstream/2451/27420/2/S-AM-00-10.pdf

I hope it's not too much work but that's a link to the paper.

Thanks