|
" Market liquidity : "
[edited by] 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.
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
106023
|
| Doc. No
|
:
|
b63572
|
| Title & Author
|
:
|
Market liquidity : : asset pricing, risk, and crises /\ [edited by] 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.
|
| Publication Statement
|
:
|
New York :: Cambridge University Press,, 2013.
|
| Page. NO
|
:
|
xiv, 277 pages :: illustrations ;; 24 cm
|
| ISBN
|
:
|
9780521191760
|
|
|
:
|
: 0521191769
|
|
|
:
|
: 9780521139656
|
|
|
:
|
: 0521139651
|
| Bibliographies/Indexes
|
:
|
Includes bibliographical references and index.
|
| Contents
|
:
|
pt. I THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS -- Introduction and Overview -- 1.Asset Pricing and the Bid-Ask Spread -- Summary and Implications -- Article / Haim Mendelson -- 2.Liquidity, Maturity, and the Yields on U.S. Treasury Securities -- Summary and Implications -- Article / Haim Mendelson -- 3.Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange -- Summary and Implications -- Article / Beni Lauterbach -- pt. II LIQUIDITY RISK -- Introduction and Overview -- 4.Illiquidity and Stock Returns: Cross-Section and Time-Series Effects -- Summary and Implications -- Article / Yakov Amihud -- 5.Asset Pricing with Liquidity Risk -- Summary and Implications -- Article / Lasse Heje Pedersen -- pt. III LIQUIDITY CRISES -- Introduction and Overview -- 6.Market Liquidity and Funding Liquidity -- Summary and Implications -- Article / Lasse Heje Pedersen -- 7.Liquidity and the 1987 Stock Market Crash -- Summary and Implications -- Article / Robert Wood -- 8.Slow Moving Capital -- Summary and Implications -- Article / Todd Pulvino.
|
| Abstract
|
:
|
"This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for traders, risk managers, central bankers, performance evaluation, economic policy, regulation of financial markets, management of liquidity crises, and academic research. Liquidity and its converse, illiquidity, are elusive concepts: You know it when you see it, but it is hard to define. A liquid security is characterized by the ability to buy or sell large amounts of it at low cost. A good example is U.S. Treasury Bills, which can be sold in blocks of $20 million dollars instantaneously at the cost of a fraction of a basis point"--
|
| Subject
|
:
|
Liquidity (Economics)
|
| Subject
|
:
|
Securities-- Prices.
|
| Subject
|
:
|
BUSINESS ECONOMICS / Accounting / Financial.
|
| Dewey Classification
|
:
|
332.63/222
|
| LC Classification
|
:
|
HG178.M37 2013
|
| Added Entry
|
:
|
Amihud, Yakov,1947-
|
|
|
:
|
Mendelson, Haim.
|
|
|
:
|
Pedersen, Lasse Heje.
|
| |