Amihud’s stock (il)liquidity measure averages daily ratios of the absolute close-to-close return to dollar volume, including overnight returns. Our modified measure uses open-to-close returns matching return and trading volume measurement windows. It is more strongly correlated with trading-cost measures (by 8%–37%) and better explains cross-sections of returns, doubling estimated liquidity premiums. Using nonsynchronous trading near close, we show overnight returns are primarily information driven: including them in Amihud’s proxy for price impacts of trading magnifies measurement error, understating liquidity premiums. Our modification helps wherever Amihud’s measure is required. Our measures are publicly available for 1964–2019 and can be updated. (JEL G12, G14)

中文翻译：

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阿米哈德（Amihud）（2002）流动性测度的夜晚

Amihud的股票（非）流动性度量平均每日绝对收盘价与收盘价之间的比率，包括隔夜收益。我们修改后的度量使用与收益和交易量度量窗口匹配的开盘-收盘收益。它与交易成本度量值之间的相关性更强（8％-37％），并且可以更好地解释收益的横截面，使估计的流动性溢价增加一倍。使用接近收盘时的非同步交易，我们显示隔夜回报主要是信息驱动的：将其包含在Amihud的代理中，以了解交易的价格影响会放大计量误差，低估了流动性溢价。我们的修改可在需要Amihud措施的任何地方提供帮助。我们的衡量标准在1964-2019年间公开可用，可以进行更新。（JEL G12，G14）