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Liquidity and Asset Prices

2006 Business & Economics
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Release : 2006
Genre : Business & Economics
Kind : eBook
Book Rating : 123/5 ( reviews)

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Book Synopsis Liquidity and Asset Prices by : Yakov Amihud

Download or read book Liquidity and Asset Prices written by Yakov Amihud. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Market Liquidity

2013 Business & Economics
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Release : 2013
Genre : Business & Economics
Kind : eBook
Book Rating : 769/5 ( reviews)

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Book Synopsis Market Liquidity by : Yakov Amihud

Download or read book Market Liquidity written by Yakov Amihud. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Market Liquidity

2012-11-12 Business & Economics
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Release : 2012-11-12
Genre : Business & Economics
Kind : eBook
Book Rating : 158/5 ( reviews)

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Book Synopsis Market Liquidity by : Yakov Amihud

Download or read book Market Liquidity written by Yakov Amihud. This book was released on 2012-11-12. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.

The Liquidity Theory of Asset Prices

2006-03-30 Business & Economics
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Release : 2006-03-30
Genre : Business & Economics
Kind : eBook
Book Rating : 774/5 ( reviews)

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Book Synopsis The Liquidity Theory of Asset Prices by : Gordon Pepper

Download or read book The Liquidity Theory of Asset Prices written by Gordon Pepper. This book was released on 2006-03-30. Available in PDF, EPUB and Kindle. Book excerpt: Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets. Few, if any, of the providers or recipients of such advice can truly claim to understand the well–springs of such liquidity and the transmission mechanisms through which it impacts asset prices. This groundbreaking new book explores the belief that at the core of liquidity there is a force which exerts individuals to effect a financial transaction when they would not otherwise do so. Understanding this force of compulsion is a key to understanding a financial market when it appears to be behaving irrationally. This book will enable new and seasoned investors to develop an understanding of the factors, so that costly mistakes can be avoided without the lesson of experience.

Stock Market Liquidity

2008-01-09 Business & Economics
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Release : 2008-01-09
Genre : Business & Economics
Kind : eBook
Book Rating : 699/5 ( reviews)

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Book Synopsis Stock Market Liquidity by : François-Serge Lhabitant

Download or read book Stock Market Liquidity written by François-Serge Lhabitant. This book was released on 2008-01-09. Available in PDF, EPUB and Kindle. Book excerpt: Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.

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