Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

Liquidity plays an important role in global research. We identify high quality liquidity proxies based on low-frequency (daily) data, which provide 1,000X to 10,000X computational savings compared to computing high-frequency (intraday) liquidity measures. We find that: (1) Closing Percent Quoted...