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In Their Most Recent Book, Yakov Amihud, Lasse Pedersen And Haim Mendelson Demonstrate The Important Role Of Liquidity In Asset Pricing.
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Calculates liquidity as a sort of moving average over time the amihud illiquidity ratio illiq measures the price impact of trading volume, Amihud liquidity ratio โ indicator by horizontonsi, Its calculated as the absolute daily return divided by the daily dollar volume ๐ผ๐ฟ๐ฟ๐ผ๐โ ๐ โ ๐๐๐ฟ๐ทโ where ๐ โ.
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