Critical Finance Review > Vol 8 > Issue 1-2

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication

Larry Harris, USC Marshall School of Business, USA, , Andrea Amato, UC Berkeley Haas School of Business, USA,
Suggested Citation
Larry Harris and Andrea Amato (2019), "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication", Critical Finance Review: Vol. 8: No. 1-2, pp 173-202.

Publication Date: 17 Dec 2019
© 2019 Larry Harris and Andrea Amato
JEL codes: G12G11G14G10
LiquidityAsset PricingReplication StudiesPrice-Volume RelationsTransaction Costs


Download article
In this article:
1. Introduction 
2. Replication 
3. An Additional Analysis 
4. Conclusion 


This paper replicates and extends the Amihud (2002) study that links liquidity to asset pricing. Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents. The same methods applied to more recent data show a much weaker relation between liquidity and asset pricing. Finally, we compare the explanatory power of Amihud’s illiquidity measure to that of other simple measures that use the same data for their calculation. We find that the Amihud illiquidity measure is no better than substantially simpler measures.