The paper Realized Illiquidity, by Demetrio Lacava (University of Messina), Angelo Ranaldo (University of Basel and Swiss Finance Institute) and Paolo Santucci de Magistris (LUISS Guido Carli), has been published in Management Science. The journal is included in the FT50 and UT Dallas lists and is rated 4* (World Elite) in the ABS ranking.
The study introduces the realized Amihud, a new way of measuring financial illiquidity. The authors show that it estimates price impact more precisely, even with stochastic volatility, market microstructure noise and price jumps. Applying it to stock data, they find that illiquidity clusters over time and shows a leverage effect.
Demetrio Lacava earned his PhD in our programme (33rd cohort) and is now a member of the PhD faculty. His paper shows how research training in Messina leads to work published in top international journals.