In theoretical models, liquidity and order flow volatility are determined by the same exogenous parameters. Thus, the variability of order flow can at least partially proxy for the unobserved (true) liquidity. Levels of and shocks to order flow volatility are indeed positively and significantly...

Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...

We develop a methodology for bias-corrected return-premium estimation from cross-sectional regressions of individual stock returns on betas and firm characteristics. Over the period 1963-2014, there is some evidence of a negative premium on the size factor and positive beta premiums for the...