I wrote up earlier in the year a piece on some liquidity research from Ibbotson et al which showed that using liquidity data could help to identify outperforming stocks by focussing on those that were less actively traded.
At the time I concluded that while it was interesting and potentially useful to investors and private investors in particular, I did not have a way to access or screen for the data. I suggested it to Stockopedia who seemed to suggest they might try and add it at some point in the future, although they are quite busy rolling out their service to global markets and as a result they are quite slow in delivering new promised features.
However, a service which I follow via a free e-mail now apparently offers a screen for their version of liquidity as part of their subscription based Quant Investor screener service. I have not tried it so I cannot comment on it, but it looks interesting as it offers the ability to screen over 22,000 stocks around the world from US, Europe and Asia if that is something you are interested in. You can check it out and get more details of their research and services by clicking the image below which demonstrates the out performance of illiquid stock in using the metric in their research.