Data and Programs
Available upon request.
1
Trade-Time Liquidity Measures
Trade-time liquidity measures (as developed in Barardehi, Bernhardt, and Davies, 2019) available upon request for U.S.-listed stocks, 2001-2022.
Barardehi, Y.H., Bernhardt, D., Davies, R.J., (2019). Trade-Time Measures of Liquidity. Review of Financial Studies 32(1), 126-179.
2
SAS Programs
SAS programs to calculate trade-time liquidity measures based on the TAQ database on WRDS, available upon request.
3
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4
Service Name
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