IlliqAmihud
Amihud Illiquidity — Amihud 2002
Liquidity
Quick facts
| Factor ID | IlliqAmihud |
| Display name | Amihud Illiquidity |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Amihud 2002 |
| Source tables | daily |
| Required fields | ret;amount |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,322 rows · 99.2% of panel |
Formula
mean(abs(ret) / amount over t-21 through t-1)
Average absolute return divided by RMB trading amount over the prior month.
China adaptation
Clip or floor amount when needed to avoid divide-by-zero artifacts in thin trading.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | 1.8826% |
| Monthly std | 4.7192% |
| Annualized Sharpe | 1.38 |
| t-stat (simple) | 5.57 |
| Hit rate (months > 0) | 69.2% |
| Last 12M compounded | 6.70% |
| Cumulative wealth (start = 1) | 30.848 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +2.54% | 29.646 | 5129 |
| 2025-06 | +3.61% | 30.715 | 5140 |
| 2025-07 | -5.47% | 29.035 | 5143 |
| 2025-08 | +0.91% | 29.300 | 5147 |
| 2025-09 | +5.45% | 30.897 | 5150 |
| 2025-10 | +5.19% | 32.502 | 5152 |
| 2025-11 | -4.88% | 30.916 | 5162 |
| 2025-12 | +1.17% | 31.279 | 5167 |
| 2026-01 | +0.65% | 31.484 | 5178 |
| 2026-02 | +3.17% | 32.481 | 5180 |
| 2026-03 | -3.30% | 31.411 | 5187 |
| 2026-04 | -1.79% | 30.848 | 5174 |
Known data issues
Very strong current result needs tradability and transaction-cost robustness checks.
Notes
A-share liquidity premium may also capture shell and retail constraints.
See also: Liquidity family, Factor library, Factor returns.