Illiquidity and stock returns: cross-section and time-series effects
Has this study been replicated?
The atlas records 2 replications of this study. Recorded outcomes: 1 successful, 1 mixed. The earliest on record is from 2019.
Replications
- Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication, Harris & Amato (2019). Critical Finance Review. Outcome recorded: successful.
Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents.
Outcome read from the abstract. View paper - A Review of the Return–Illiquidity Relationship, Drienko et al. (2019). Critical Finance Review. 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.
Outcome read from the abstract. View paper
Cite this record
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. https://doi.org/10.1016/s1386-4181(01)00024-6
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