Liquidity And Asset Prices

Author : Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen
Publisher : Now Publishers Inc
Page : 109 pages
File Size : 43,9 Mb
Release : 2006
Category : Business & Economics
ISBN : 9781933019123

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Liquidity and Asset Prices by Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen Pdf

Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Author : Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen
Publisher : Cambridge University Press
Page : 293 pages
File Size : 47,9 Mb
Release : 2013
Category : Business & Economics
ISBN : 9780521191760

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Market Liquidity by Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen Pdf

This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Author : Yakov Amihud,Haim Mendelson
Publisher : Unknown
Page : 31 pages
File Size : 40,6 Mb
Release : 1987
Category : Liquidity (Economics)
ISBN : OCLC:17504714

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Liquidity and Asset Prices by Yakov Amihud,Haim Mendelson Pdf

Author : Gordon Pepper,Michael Oliver
Publisher : John Wiley & Sons
Page : 190 pages
File Size : 55,9 Mb
Release : 2006-03-30
Category : Business & Economics
ISBN : 9780470032770

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The Liquidity Theory of Asset Prices by Gordon Pepper,Michael Oliver Pdf

Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets. Few, if any, of the providers or recipients of such advice can truly claim to understand the well–springs of such liquidity and the transmission mechanisms through which it impacts asset prices. This groundbreaking new book explores the belief that at the core of liquidity there is a force which exerts individuals to effect a financial transaction when they would not otherwise do so. Understanding this force of compulsion is a key to understanding a financial market when it appears to be behaving irrationally. This book will enable new and seasoned investors to develop an understanding of the factors, so that costly mistakes can be avoided without the lesson of experience.

Author : Mr.Charles Frederick Kramer,Klaas Baks
Publisher : International Monetary Fund
Page : 34 pages
File Size : 44,5 Mb
Release : 1999-12-01
Category : Business & Economics
ISBN : 9781451858242

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Global Liquidity and Asset Prices by Mr.Charles Frederick Kramer,Klaas Baks Pdf

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.

Author : Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen
Publisher : Cambridge University Press
Page : 293 pages
File Size : 41,9 Mb
Release : 2012-11-12
Category : Business & Economics
ISBN : 9781139560153

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Market Liquidity by Yakov Amihud,Haim Mendelson,Lasse Heje Pedersen Pdf

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.

Author : François-Serge Lhabitant,Greg N. Gregoriou
Publisher : John Wiley & Sons
Page : 502 pages
File Size : 44,7 Mb
Release : 2008-01-09
Category : Business & Economics
ISBN : 9780470181690

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Stock Market Liquidity by François-Serge Lhabitant,Greg N. Gregoriou Pdf

Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.

Author : Klaas Baks
Publisher : Unknown
Page : 33 pages
File Size : 53,7 Mb
Release : 2006
Category : Electronic
ISBN : OCLC:1291216228

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Global Liquidity and Asset Prices by Klaas Baks Pdf

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.

Author : Ralph Turvey
Publisher : Routledge
Page : 69 pages
File Size : 44,5 Mb
Release : 2022-04-29
Category : Business & Economics
ISBN : 9781000579895

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Interest Rates and Asset Prices by Ralph Turvey Pdf

First published in 1960, Interest Rates and Asset Prices presents an analysis of the determination of interest rates and asset prices with the help of few simple assumptions. The theory can be regarded either as an alternative to the liquidity preference theory or as an extension of it. Like that theory, it is aggregative and simple, but it is applicable not only to interest rates on government securities but also to yields on real assets. Furthermore, it can be formulated in terms of actually measurable variables, so that it is directly applicable to particular situations. This is demonstrated by a statistical example relating to the average yield on U.S. Government securities in the post- war period. In addition to the main analysis the author discusses the role of financial intermediaries and the structure of interest rates, and there is also a re-examination of the determinants of the transactions demand for money. This is book is an essential read for students of economics.

Author : Franklin Allen,Elena Carletti,Jan Pieter Krahnen,Marcel Tyrell
Publisher : OUP USA
Page : 718 pages
File Size : 54,9 Mb
Release : 2011-01-13
Category : Business & Economics
ISBN : 9780195390704

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Liquidity and Crises by Franklin Allen,Elena Carletti,Jan Pieter Krahnen,Marcel Tyrell Pdf

One important cause of the 2007-2009 crisis was illiquidity combined with exposure of many financial institutions to liquidity needs. But what is liquidity and why is it so important for financial institutions to command enough liquidity? This book brings together classic articles and recent contributions to this important field.

Author : Georg Pristas
Publisher : Cuvillier Verlag
Page : 163 pages
File Size : 41,7 Mb
Release : 2008
Category : Electronic
ISBN : 9783867276795

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Limit Order Book Dynamics and Asset Liquidity by Georg Pristas Pdf

Author : Viral V. Acharya,Lasse Heje Pedersen
Publisher : Unknown
Page : 52 pages
File Size : 43,8 Mb
Release : 2004
Category : Capital assets pricing model
ISBN : UVA:X004878968

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Asset Pricing with Liquidity Risk by Viral V. Acharya,Lasse Heje Pedersen Pdf

Author : Deniz Ozenbas
Publisher : Springer Nature
Page : 111 pages
File Size : 42,6 Mb
Release : 2022
Category : Business enterprises
ISBN : 9783030748173

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Liquidity, Markets and Trading in Action by Deniz Ozenbas Pdf

This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Author : Thierry Foucault,Marco Pagano,Ailsa Röell
Publisher : Oxford University Press
Page : 531 pages
File Size : 48,6 Mb
Release : 2023
Category : Capital market
ISBN : 9780197542064

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Market Liquidity by Thierry Foucault,Marco Pagano,Ailsa Röell Pdf

"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--

Author : Guillaume Rocheteau,Ed Nosal
Publisher : MIT Press
Page : 501 pages
File Size : 40,8 Mb
Release : 2017-05-19
Category : Business & Economics
ISBN : 9780262533270

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Money, Payments, and Liquidity, second edition by Guillaume Rocheteau,Ed Nosal Pdf

A new edition of a book presenting a unified framework for studying the role of money and liquid assets in the economy, revised and updated. In Money, Payments, and Liquidity, Guillaume Rocheteau and Ed Nosal provide a comprehensive investigation into the economics of money, liquidity, and payments by explicitly modeling the mechanics of trade and its various frictions (including search, private information, and limited commitment). Adopting the last generation of the New Monetarist framework developed by Ricardo Lagos and Randall Wright, among others, Nosal and Rocheteau provide a dynamic general equilibrium framework to examine the frictions in the economy that make money and liquid assets play a useful role in trade. They discuss such topics as cashless economies; the properties of an asset that make it suitable to be used as a medium of exchange; the optimal monetary policy and the cost of inflation; the coexistence of money and credit; and the relationships among liquidity, asset prices, monetary policy; and the different measures of liquidity in over-the-counter markets. The second edition has been revised to reflect recent progress in the New Monetarist approach to payments and liquidity. Rocheteau and Nosal have added three new chapters: on unemployment and payments, on asset price dynamics and bubbles, and on crashes and recoveries in over-the-counter markets. The chapter on the role of money has been entirely rewritten, adopting a mechanism design approach. Other chapters have been revised and updated, with new material on credit economies under limited commitment, open-market operations and liquidity traps, and the limited pledgeability of assets under informational frictions.