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Researchers have various ways to measure liquidity but most of them come with both merits and demerits. This study provides a literature review of low-frequency liquidity measures with a primary focus on liquidity measurement as well as its implication on asset pricing. Based on the dimension it captures, a range of existing low-frequency measures are divided into four categories of liquidity proxies including transaction cost, volume, price impact, and multidimensionbased measures. We review some well-established liquidity proxies, a new bid-ask spread estimator and price impact ratios proposed recently. Finally, we discuss how good low-frequency liquidity measures are at capturing standard liquidity benchmarks, which are constructed from high-frequency intraday data.

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