عنوان

Liquidity and asset prices /

(Number (ISBN

1933019662

(Number (ISBN

1933019743

(Number (ISBN

9781933019666

(Number (ISBN

9781933019741

Erroneous ISBN

1933019123

Erroneous ISBN

9781933019123

Number

b748990

Title Proper

Liquidity and asset prices /

General Material Designation

[Book]

First Statement of Responsibility

Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen.

Place of Publication, Distribution, etc.

Boston :

Name of Publisher, Distributor, etc.

Now,

Date of Publication, Distribution, etc.

©2006.

Specific Material Designation and Extent of Item

1 online resource

Series Title

Foundations and trends in finance,

Volume Designation

vol. 1, issue 4

ISSN of Series

1567-2409 ;

Text of Note

Includes bibliographical references.

Text of Note

Abstract -- Introduction -- Theory -- Liquidity and standard asset pricing theory -- Basic model of liquidity and asset prices -- Clientele effects -- Time-varying transaction costs and liquidity risk -- Uncertain trading horizons and liquidity risk -- Endogenous trading horizons -- Brief aside: sources of illiquidity -- Asset pricing with endogenous illiquidity -- Empirical evidence -- Liquidity measures: empirical issues -- Equity markets -- Fixed-income markets -- Other financial instruments -- References.

0

Text of Note

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling for traditional risk measures and asset characteristics. Liquidity-based asset pricing empirically helps explain (1) the cross-section of stock returns, (2) how a reduction in stock liquidity result in a reduction in stock prices and an increase in expected stock returns, (3) the yield differential between on- and off-the-run Treasuries, (4) the yield spreads on corporate bonds, (5) the returns on hedge funds, (6) the valuation of closed-end funds, and (7) the low price of certain hard-to-trade securities relative to more liquid counterparts with identical cash flows, such as restricted stocks or illiquid derivatives. Liquidity can thus play a role in resolving a number of asset pricing puzzles such as the small-firm effect, the equity premium puzzle, and the risk-free rate puzzle.

Title

Liquidity and asset prices.

Liquidity (Economics)

Stocks-- Prices.

BUSINESS & ECONOMICS-- Investments & Securities-- Stocks.

Liquidity (Economics)

Stocks-- Prices.

BUS-- 036060

Number

Edition

Class number

Amihud, Yakov,1947-

Mendelson, Haim.

Pedersen, Lasse Heje.

Date of Transaction

20201204085800.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y