Abstract In this paper we test two recently developed liquidity measures the Return-to-Turnover (hereafter RtoTR) proposed by Florackis et al. (2011) and Return-to-Volume (hereafter RtoV) recommended by Amihud (2002) , for 386 companies listed on the Pakistani Stock Exchange (PSX). Our data is obtained from January 2005 to December 2019. We firstly show the Amihud (2002) ratio has limited ability to distinguish illiquidity from size effects in asset pricing. Second, the Florackis et al. (2011) measure has distinct features to overcome the limitations of the Amihud (2002) ratio in the PSX. Our results show that the Capital Asset Pricing Model cannot completely account for the significant RtoV premium. However, this weak evidence for the existence of this premium disappears when Fama–French or Carhart alphas are considered as measures of risk-adjusted performance. This suggests that the RtoTR price impact ratio is more effective in the PSX compared to the RtoV ratio. Our findings suggest that both trading frequency and trading cost are significant factors in examining the returns. The RtoV ratio has a negative correlation with the market capitalization, which suggests that small stocks are inherently illiquid.

中文翻译：

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流动性比率的影响：来自巴基斯坦证券交易所的证据

摘要 在本文中，我们测试了 Florackis 等人提出的两个最近开发的流动性衡量指标，即回报率（Return-to-Turnover，以下简称 RtoTR）。(2011) 和 Amihud (2002) 为在巴基斯坦证券交易所 (PSX) 上市的 386 家公司推荐的回归量（以下简称 RtoV）。我们的数据是从 2005 年 1 月到 2019 年 12 月获得的。我们首先表明 Amihud (2002) 比率在区分非流动性和资产定价中的规模效应的能力有限。其次，Florackis 等人。(2011) 措施具有明显的特征，可以克服 PSX 中 Amihud (2002) 比率的局限性。我们的结果表明资本资产定价模型不能完全解释显着的 RtoV 溢价。然而，当 Fama-French 或 Carhart alphas 被视为风险调整后业绩的衡量标准时，这种溢价存在的微弱证据就消失了。这表明与 RtoV 比率相比，RtoTR 价格影响比率在 PSX 中更有效。我们的研究结果表明，交易频率和交易成本都是检验回报的重要因素。RtoV 比率与市值呈负相关，这表明小股票本质上缺乏流动性。