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Amihud's Illiquidity

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Contributor
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Amihud's Illiquidity

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
Super User
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Re: Amihud's Illiquidity

What is Amihuds illiquidity? 

Contributor
Posts: 39

Re: Amihud's Illiquidity

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

Super User
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Re: Amihud's Illiquidity

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

Contributor
Posts: 39

Re: Amihud's Illiquidity

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

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