National Science Library of Georgia

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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.

Contributor(s): Material type: TextTextPublisher: Cambridge : Cambridge University Press, 2013Description: 1 online resource (xiv, 277 pages) : digital, PDF file(s)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511844393 (ebook)
Subject(s): Additional physical formats: Print version: : No titleDDC classification:
  • 332.63/222 23
LOC classification:
  • HG178 .M37 2013
Online resources: Summary: 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.
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Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

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