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Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?

https://doi.org/10.1093/rfs/hhx072
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Information Uncertainty and Expected Returns
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken…
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Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models
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Market Statistics and Technical Analysis: The Role of Volume
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Good News for Value Stocks: Further Evidence on Market Efficiency
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A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
inferredcites →https://doi.org/10.1111/jofi.12127openalex-snapshot
Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
inferredcites →https://doi.org/10.1111/jofi.12260openalex-snapshot
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inferredcites →https://doi.org/10.1111/jofi.12718openalex-snapshot
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What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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