Yakov Amihud

Yakov Amihud is a professor at NYU Stern School of Business who developed one of the most widely used measures of stock market illiquidity — the Amihud (2002) measure, which uses daily absolute returns divided by dollar volume as a proxy for price impact. His research demonstrated that stocks with higher illiquidity earn higher average returns — compensating investors for bearing liquidity risk — and that illiquidity varies systematically with business cycles. The Amihud measure is embedded in quantitative models at asset managers globally and is central to liquidity-adjusted asset pricing research. His subsequent work on the commonality of illiquidity across stocks, the time-varying nature of the illiquidity premium, and the relationship between liquidity and momentum effects has enriched the empirical asset pricing literature and provided practitioners with tools for constructing portfolios that more precisely account for the true cost of trading and the expected compensation for bearing liquidity risk.