A new measure of liquidity

作者:Wang, Yongxiang*; Wu, Weixing
来源:Applied Economics Letters, 2007, 14(11): 817-820.
DOI:10.1080/13504850600606075

摘要

We propose a new measure of market liquidity based on the investors' optimal searching behaviour. Thus, we add a wealth filter on Pagano (1989)'s measure of liquidity to build the strong tie between endogenous market participation and investor wealth, as has been documented by empirical works.

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