HOLDEN, CRAIG W.; JACOBSEN, STACEY - In: Journal of Finance 69 (2014) 4, pp. 1747-1785
type="main" <title type="main">ABSTRACT</title> <p>Do fast, competitive markets yield liquidity measurement problems when using the popular Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of spreads, trade location, and price impact compared with the expensive Daily Trade and Quote (DTAQ)...</p>