Empirical Analysis of Liquidity Craig Holden

Format:
Paperback
ISBN:
9781601988744
Published:
5th March 2015
Publisher:
now publishers Inc
Dimensions:
116 pages: 234 x 156 x 6mm
Series:
Foundations and Trends in Finance

This monograph provides a synthesis of the empirical evidence on market liquidity. The authors start with an overview of how liquidity is measured and specialized issues in liquidity measurement. The literature on liquidity and asset pricing demonstrates that both average liquidity cost and liquidity risk are priced, liquidity enhances market efficiency, and liquidity strengthens the arbitrage linkage between related markets.

Introduction. How Liquidity Is Measured. Patterns in Liquidity. Liquidity and Corporate Finance. Liquidity and Asset Pricing. Suggestions for Future Research. References


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