Yakov Amihud

Market Liquidity (eBook, PDF)

Asset Pricing, Risk, and Crises

• Format: PDF

Produktbeschreibung

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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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 12. November 2012
• Englisch
• ISBN-13: 9781139557702
• Artikelnr.: 38277081

Autorenporträt

Yakov Amihud is the Ira Rennert Professor of Finance at the Stern School of Business, New York University. His published research focuses on the effects of the liquidity of stocks and bonds on their returns and values and the design and evaluation of securities markets' trading methods and systems. On these topics, Professor Amihud has advised the New York Stock Exchange, American Stock Exchange, Chicago Board of Options Exchange, Chicago Board of Trade and other securities markets. He has published more than ninety research articles in professional journals and in books and edited and co-edited five books on securities market design, international finance, leveraged buyouts and bank mergers and acquisitions.

Inhaltsangabe

Introduction Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen; Part I.
Liquidity: The Effect of Trading Costs on Securities Prices and Returns: 1.
Asset pricing and the bid-ask spread Yakov Amihud and Haim Mendelson; 2.
Liquidity, maturity, and the yield on US Treasury securities Yakov Amihud
and Haim Mendelson; 3. Market microstructure and securities values:
evidence from the Tel Aviv stock exchange Yakov Amihud, Haim Mendelson and
Beni Lauterbach; Part II. Liquidity Risk: 4. Illiquidity and stock returns:
cross-section and time-series effects Yakov Amihud; 5. Asset pricing with
liquidity risk Viral V. Acharya and Lasse Heje Pedersen; Part III.
Liquidity Crises: 6. Market liquidity and funding liquidity Markus
Brunnermeier and Lasse Heje Pedersen; 7. Liquidity and the 1987 stock
market crash Yakov Amihud, Haim Mendelson and Robert A. Wood; 8. Slow
moving capital Mark Mitchell, Lasse Heje Pedersen and Todd Pulvino.