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The importance of liquidity is not limited to asset pricing; it is an important factor in corporate finance as well. When the liquidity of a company affects its required return and cost of capital, it has important implications for corporate financial policies. Empirical studies examine how ...
This group is called the “price impact benchmarks.” The low-frequency liquidity proxies are all calculated using daily data. Specifically, we select three spread proxies, and three price impact proxies that are relatively easy to calculate, and have been widely used in empirical studies.2 The...