Amihud's (2002) stock (il)liquidity measure averages daily ratios of absolute close-to-close return to dollar volume, including overnight returns, while trading volumes come from regular hours. Our modified measure addresses this mismatch by using open-to-close returns. It is more strongly...

The recent absence of a discernible liquidity premium in cross-sectional stock returns despite non-trivial trade execution costs is a puzzle. We resolve this puzzle using a proxy for institutional trading costs that exploits the unique institutional features of modern U.S. equity markets....

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...