Regression model
Liquidity Risk Models (Amihud, Roll, LOT)
Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure.
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Sources
- Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI: 10.1016/S1386-4181(01)00024-6 ↗
- Roll, R. (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. Journal of Finance, 39(4), 1127-1139. DOI: 10.1111/j.1540-6261.1984.tb03897.x ↗