Illiquidity and stock returns: cross-section and time-series effects

Yakov Amihud

Journal of Financial Markets, 2002. DOI 10.1016/s1386-4181(01)00024-6

Has this study been replicated?

The atlas records 2 replications of this study. Recorded outcomes: 1 successful, 1 mixed.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication, Harris & Amato (2019). Outcome recorded: successful. Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents. View paper
A Review of the Return–Illiquidity Relationship, Drienko et al. (2019). Outcome recorded: mixed. We replicate these findings in-sample, but the out-of-sample results largely lose their significance and monotonic properties in the time-series. View paper