Price & Market BehaviorCore researchlive in productionNew
Amihud Illiquidity
Updated dailyData needs: lowlong onlylong short
paper
2002
Source
#83 amihud_illiquidity — Amihud 2002 JFM "Illiquidity and stock returns".
Read the paper →
In plain terms
Measures how much the price moves per dollar traded. Stocks costly to exit must pay investors more — long the illiquid names for the premium.
How it works
Amihud illiquidity = |daily_return| / dollar_volume (×1e6). High ILLIQ → larger price impact per dollar traded → liquidity-risk premium. 20-day rolling Amihud measure ranks tickers; long top-decile illiquid (premium for bearing illiquidity), short bottom-decile.
Live results
292 times picked on its own · 944 times inside a blend (804 beat the stock) · updated 2026-06-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 944 such blended picks (804 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.
How its picks scored vs. buy & hold
Each pick is graded on a recent year it was never tuned on, against simply owning the same stock
Where its edge concentrates
Share of picks in each company-size group that beat buy & hold
How often it trades
Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often
Return vs. buy & hold
How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)
Loading substrate evidence…
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- ~6 bps/month per std (Amihud 2002)
- Tested over
- 1963-1997
~2-5% annualized, varies with regime. Stronger in small-cap and high-vol regimes.
Explore Amihud Illiquidity on alphactor.ai
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