Market liquidity asset pricing, risk, and crises
"This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for trader...
| Otros Autores: | , , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press
2013.
|
| Colección: | CUP ebooks.
|
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b39747244*spi |
| Sumario: | "This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for traders, risk managers, central bankers, performance evaluation, economic policy, regulation of financial markets, management of liquidity crises, and academic research. Liquidity and its converse, illiquidity, are elusive concepts: You know it when you see it, but it is hard to define. A liquid security is characterized by the ability to buy or sell large amounts of it at low cost. A good example is U.S. Treasury Bills, which can be sold in blocks of $20 million dollars instantaneously at the cost of a fraction of a basis point"-- |
|---|---|
| Descripción Física: | 1 recurso electrónico |
| Formato: | Forma de acceso: World Wide Web. |
| Bibliografía: | Incluye referencias bibliográficas e índice. |
| ISBN: | 9781139553957 |
