Illiquidity · Liquidity · Amihud (2002)

Amihud's illiquidity

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.20%

95% interval −0.82% to 0.54%

Next year

−0.11%

95% interval −0.78% to 0.59%

Next five years

0.14%

95% interval −0.68% to 0.91%

Next quarter

0.25%

95% interval −0.34% to 0.91%

Next year

0.30%

95% interval −0.34% to 0.96%

Next five years

0.46%

95% interval −0.31% to 1.20%

Next quarter

0.00%

95% interval −0.79% to 0.89%

Next year

0.07%

95% interval −0.75% to 0.91%

Next five years

0.27%

95% interval −0.63% to 1.10%

Next quarter

0.41%

95% interval −0.29% to 1.19%

Next year

0.47%

95% interval −0.28% to 1.23%

Next five years

0.65%

95% interval −0.24% to 1.49%

Cumulative market-adjusted return

+111% since 1927Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	1.46%	11.98%	0.12	1.21
2020Q1–2024Q4	−6.28%	7.92%	−0.79	−1.77
2024Q1–2024Q4	−2.94%	6.65%	−0.44	−0.44
1927Q3–2024Q4	2.65%	11.69%	0.23	2.24
2020Q1–2024Q4	−2.07%	6.70%	−0.31	−0.69
2024Q1–2024Q4	−0.72%	5.64%	−0.13	−0.13
1927Q3–2024Q4	1.70%	14.20%	0.12	1.18
2020Q1–2024Q4	−7.00%	9.97%	−0.70	−1.57
2024Q1–2024Q4	0.83%	9.14%	0.09	0.09
1927Q3–2024Q4	3.52%	13.51%	0.26	2.57
2020Q1–2024Q4	−1.42%	7.88%	−0.18	−0.40
2024Q1–2024Q4	−0.40%	4.14%	−0.10	−0.10

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.034	−0.138 – 0.090	0.74
Next year	−0.019	−0.131 – 0.099	0.64
Next five years	0.024	−0.113 – 0.151	0.35
Next quarter	0.043	−0.059 – 0.156	0.22
Next year	0.052	−0.058 – 0.165	0.18
Next five years	0.080	−0.054 – 0.205	0.11
Next quarter	0.000	−0.112 – 0.125	0.51
Next year	0.010	−0.106 – 0.128	0.44
Next five years	0.038	−0.089 – 0.154	0.26
Next quarter	0.061	−0.043 – 0.176	0.14
Next year	0.070	−0.041 – 0.183	0.11
Next five years	0.097	−0.036 – 0.220	0.07