Market liquidity: asset pricing, risk, and crises
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...
Gespeichert in:
| Weitere beteiligte Personen: | , , |
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| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2013
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| Links: | https://doi.org/10.1017/CBO9780511844393 |
| Zusammenfassung: | 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. |
| Umfang: | 1 Online-Ressource (xiv, 277 Seiten) |
| ISBN: | 9780511844393 |
Internformat
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| 245 | 0 | 0 | |a Market liquidity |b asset pricing, risk, and crises |c Yakov Amihud, Stern School of Business, New York University, Haim Mendelson, Graduate School of Business, Stanford University, Lasse Heje Pedersen, Stern School of Business, New York University |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2013 | |
| 300 | |a 1 Online-Ressource (xiv, 277 Seiten) | ||
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| 520 | |a 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. | ||
| 700 | 1 | |a Amihud, Yakov |d 1947- | |
| 700 | 1 | |a Mendelson, Haim | |
| 700 | 1 | |a Pedersen, Lasse Heje | |
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Datensatz im Suchindex
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| spelling | Market liquidity asset pricing, risk, and crises Yakov Amihud, Stern School of Business, New York University, Haim Mendelson, Graduate School of Business, Stanford University, Lasse Heje Pedersen, Stern School of Business, New York University Cambridge Cambridge University Press 2013 1 Online-Ressource (xiv, 277 Seiten) txt c cr 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. Amihud, Yakov 1947- Mendelson, Haim Pedersen, Lasse Heje Erscheint auch als Druck-Ausgabe 9780521139656 Erscheint auch als Druck-Ausgabe 9780521191760 |
| spellingShingle | Market liquidity asset pricing, risk, and crises |
| title | Market liquidity asset pricing, risk, and crises |
| title_auth | Market liquidity asset pricing, risk, and crises |
| title_exact_search | Market liquidity asset pricing, risk, and crises |
| title_full | Market liquidity asset pricing, risk, and crises Yakov Amihud, Stern School of Business, New York University, Haim Mendelson, Graduate School of Business, Stanford University, Lasse Heje Pedersen, Stern School of Business, New York University |
| title_fullStr | Market liquidity asset pricing, risk, and crises Yakov Amihud, Stern School of Business, New York University, Haim Mendelson, Graduate School of Business, Stanford University, Lasse Heje Pedersen, Stern School of Business, New York University |
| title_full_unstemmed | Market liquidity asset pricing, risk, and crises Yakov Amihud, Stern School of Business, New York University, Haim Mendelson, Graduate School of Business, Stanford University, Lasse Heje Pedersen, Stern School of Business, New York University |
| title_short | Market liquidity |
| title_sort | market liquidity asset pricing risk and crises |
| title_sub | asset pricing, risk, and crises |
| work_keys_str_mv | AT amihudyakov marketliquidityassetpricingriskandcrises AT mendelsonhaim marketliquidityassetpricingriskandcrises AT pedersenlasseheje marketliquidityassetpricingriskandcrises |