Liquidity and Asset Prices Yakov Amihud, Haim Mendelson, Lasse H. Pedersen

Format:
Paperback
ISBN:
9781933019123
Published:
1st December 2005
Publisher:
now publishers Inc
Dimensions:
108 pages: 234 x 156 x 5mm
Series:
Foundations and Trends in Finance

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.

1. Introduction. 2. Theory 3. Empirical Evidence


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