عنوان

Liquidity and asset prices /

شابک

1933019662

شابک

1933019743

شابک

9781933019666

شابک

9781933019741

شابک اشتباه

1933019123

شابک اشتباه

9781933019123

شماره

b748990

عنوان اصلي

Liquidity and asset prices /

نام عام مواد

[Book]

نام نخستين پديدآور

Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen.

محل نشرو پخش و غیره

Boston :

نام ناشر، پخش کننده و غيره

Now,

تاریخ نشرو بخش و غیره

©2006.

نام خاص و کميت اثر

1 online resource

عنوان فروست

Foundations and trends in finance,

مشخصه جلد

vol. 1, issue 4

شاپا ي ISSN فروست

1567-2409 ;

متن يادداشت

Includes bibliographical references.

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

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.

عنوان

Liquidity and asset prices.

موضوع مستند نشده

Liquidity (Economics)

موضوع مستند نشده

Stocks-- Prices.

موضوع مستند نشده

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

موضوع مستند نشده

Liquidity (Economics)

موضوع مستند نشده

Stocks-- Prices.

موضوع مستند نشده

BUS-- 036060

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Amihud, Yakov,1947-

مستند نام اشخاص تاييد نشده

Mendelson, Haim.

مستند نام اشخاص تاييد نشده

Pedersen, Lasse Heje.

تاريخ عمليات

20201204085800.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y