Are price impact-based liquidity measures biased due to important announcements?

Additional Metadata
Keywords	liquidity, Amihud, illiquidity premium, price impact, asset pricing, earnings announcement
Thesis Advisor	Schmitt, Claus, van Dijk, Mathijs
Persistent URL	hdl.handle.net/2105/45894
Series	Finance & Investments
Organisation	Rotterdam School of Management
Citation APA APA Style APA-ALL Style AAA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Vaz Pinto de Souza Araújo, Augusto. (2018). Are price impact-based liquidity measures biased due to important announcements?. In Finance & Investments.http://hdl.handle.net/2105/45894

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