Amihud's Illiquidity

[Theo_Gh]

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

[Reeza]

What is Amihuds illiquidity? 

[Theo_Gh]

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

[ballardw]

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

[Theo_Gh]

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