|
" Liquidity and asset prices / "
Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen.
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
994620
|
| Doc. No
|
:
|
b748990
|
| Main Entry
|
:
|
Amihud, Yakov,1947-
|
| Title & Author
|
:
|
Liquidity and asset prices /\ Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen.
|
| Publication Statement
|
:
|
Boston :: Now,, ©2006.
|
| Series Statement
|
:
|
Foundations and trends in finance,; vol. 1, issue 4
|
| Page. NO
|
:
|
1 online resource
|
| ISBN
|
:
|
1933019662
|
|
|
:
|
: 1933019743
|
|
|
:
|
: 9781933019666
|
|
|
:
|
: 9781933019741
|
|
|
:
|
1933019123
|
|
|
:
|
9781933019123
|
| Bibliographies/Indexes
|
:
|
Includes bibliographical references.
|
| Contents
|
:
|
Abstract -- Introduction -- Theory -- Liquidity and standard asset pricing theory -- Basic model of liquidity and asset prices -- Clientele effects -- Time-varying transaction costs and liquidity risk -- Uncertain trading horizons and liquidity risk -- Endogenous trading horizons -- Brief aside: sources of illiquidity -- Asset pricing with endogenous illiquidity -- Empirical evidence -- Liquidity measures: empirical issues -- Equity markets -- Fixed-income markets -- Other financial instruments -- References.
|
| Abstract
|
:
|
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling for traditional risk measures and asset characteristics. Liquidity-based asset pricing empirically helps explain (1) the cross-section of stock returns, (2) how a reduction in stock liquidity result in a reduction in stock prices and an increase in expected stock returns, (3) the yield differential between on- and off-the-run Treasuries, (4) the yield spreads on corporate bonds, (5) the returns on hedge funds, (6) the valuation of closed-end funds, and (7) the low price of certain hard-to-trade securities relative to more liquid counterparts with identical cash flows, such as restricted stocks or illiquid derivatives. Liquidity can thus play a role in resolving a number of asset pricing puzzles such as the small-firm effect, the equity premium puzzle, and the risk-free rate puzzle.
|
| Subject
|
:
|
Liquidity (Economics)
|
| Subject
|
:
|
Stocks-- Prices.
|
| Subject
|
:
|
BUSINESS ECONOMICS-- Investments Securities-- Stocks.
|
| Subject
|
:
|
Liquidity (Economics)
|
| Subject
|
:
|
Stocks-- Prices.
|
| Dewey Classification
|
:
|
332.63/222
|
| LC Classification
|
:
|
HG4636
|
| Added Entry
|
:
|
Mendelson, Haim.
|
|
|
:
|
Pedersen, Lasse Heje.
|
| |