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: | , , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press
2013.
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| Colección: | CUP ebooks.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b39747244*spi |
Tabla de Contenidos:
- Introduction / Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen
- Part I. Liquidity: The Effect of Trading Costs on Securities Prices and Returns: 1. Asset pricing and the bid-ask spread / Yakov Amihud and Haim Mendelson
- 2. Liquidity, maturity, and the yield on U.S. Treasury securities / Yakov Amihud and Haim Mendelson
- 3. Market microstructure and securities values: evidence from the Tel Aviv stock exchange / Yakov Amihud, Haim Mendelson and Beni Lauterbach
- Part II. Liquidity Risk: 4. Illiquidity and stock returns: cross-section and time-series effects / Yakov Amihud
- 5. Asset pricing with liquidity risk / Viral V. Acharya and Lasse Heje Pedersen
- Part III. Liquidity Crises: 6. Market liquidity and funding liquidity / Markus Brunnermeier and Lasse Heje Pedersen
- 7. Liquidity and the 1987 stock market crash / Yakov Amihud, Haim Mendelson and Robert A. Wood
- 8. Slow moving capital / Mark Mitchell, Lasse Heje Pedersen and Todd Pulvino.
