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9780521191760

Market Liquidity: Asset Pricing, Risk, and Crises

by
  • ISBN13:

    9780521191760

  • ISBN10:

    0521191769

  • Format: Hardcover
  • Copyright: 2012-11-12
  • Publisher: Cambridge University Press

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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.

Table of Contents

Introduction
Liquidity: The Effect of Trading Costs on Securities Prices and Returns:
Asset pricing and the bid-ask spread
Liquidity, maturity, and the yield on U.S. Treasury securities
Market microstructure and securities values: evidence from the Tel Aviv stock exchange
Liquidity Risk:
Illiquidity and stock returns: cross-section and time-series effects
Asset pricing with liquidity risk Viral
Liquidity Crises:
Market liquidity and funding liquidity Markus Brunnermeier and Lasse
Liquidity and the 1987 stock market crash
Slow moving capital Mark Mitchell
Table of Contents provided by Publisher. All Rights Reserved.

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

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