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 Verfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2013
|
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 UBG01 Volltext |
| 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xiv, 277 pages) |
| ISBN: | 9780511844393 |
| DOI: | 10.1017/CBO9780511844393 |
Internformat
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| 245 | 1 | 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 |
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| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015) | ||
| 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 | ||
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| dewey-full | 332.63/222 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/222 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511844393 |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:38:41Z |
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| isbn | 9780511844393 |
| language | English |
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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 resource (xiv, 277 pages) txt rdacontent c rdamedia cr rdacarrier 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 Liquidity (Economics) Securities / Prices Liquiditätsrisiko (DE-588)4314333-7 gnd rswk-swf Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf Liquidität (DE-588)4035908-6 gnd rswk-swf Liquidität (DE-588)4035908-6 s Liquiditätsrisiko (DE-588)4314333-7 s Wertpapiermarkt (DE-588)4189708-0 s 1\p DE-604 Amihud, Yakov 1947- edt Mendelson, Haim edt Pedersen, Lasse Heje edt Erscheint auch als Druckausgabe 978-0-521-13965-6 Erscheint auch als Druckausgabe 978-0-521-19176-0 https://doi.org/10.1017/CBO9780511844393 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Market liquidity asset pricing, risk, and crises Liquidity (Economics) Securities / Prices Liquiditätsrisiko (DE-588)4314333-7 gnd Wertpapiermarkt (DE-588)4189708-0 gnd Liquidität (DE-588)4035908-6 gnd |
| subject_GND | (DE-588)4314333-7 (DE-588)4189708-0 (DE-588)4035908-6 |
| 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 |
| topic | Liquidity (Economics) Securities / Prices Liquiditätsrisiko (DE-588)4314333-7 gnd Wertpapiermarkt (DE-588)4189708-0 gnd Liquidität (DE-588)4035908-6 gnd |
| topic_facet | Liquidity (Economics) Securities / Prices Liquiditätsrisiko Wertpapiermarkt Liquidität |
| url | https://doi.org/10.1017/CBO9780511844393 |
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