Holden, Craig W.; Jacobsen, Stacey; Subrahmanyam, Avanidhar - In: Foundations and Trends(R) in Finance 8 (2014) 4, pp. 263-365
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has … established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of … liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to …