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Theo_Gh
Obsidian | Level 7 Theo_Gh
Obsidian | Level 7

Amihud's Illiquidity

Posted 01-18-2017 03:51 AM (1874 views)
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
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4 REPLIES 4
Reeza
Super User Reeza
Super User

Re: Amihud's Illiquidity

Posted 01-18-2017 03:59 AM (1868 views)  |   In reply to Theo_Gh

What is Amihuds illiquidity? 

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Theo_Gh
Obsidian | Level 7 Theo_Gh
Obsidian | Level 7

Re: Amihud's Illiquidity

Posted 01-18-2017 04:40 AM (1863 views)  |   In reply to Reeza

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

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ballardw
Super User ballardw
Super User

Re: Amihud's Illiquidity

Posted 01-18-2017 09:53 AM (1844 views)  |   In reply to Theo_Gh

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

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Theo_Gh
Obsidian | Level 7 Theo_Gh
Obsidian | Level 7

Re: Amihud's Illiquidity

Posted 01-18-2017 11:19 AM (1840 views)  |   In reply to ballardw

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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  • 4 replies
  • ‎01-18-2017 03:51 AM
  • 1875 views
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