Liquidity And Asset Prices
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Author | : Yakov Amihud |
Publisher | : Cambridge University Press |
Total Pages | : 293 |
Release | : 2013 |
Genre | : Business & Economics |
ISBN | : 0521191769 |
Download Market Liquidity Book in PDF, Epub and Kindle
This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Author | : Yakov Amihud |
Publisher | : Now Publishers Inc |
Total Pages | : 109 |
Release | : 2006 |
Genre | : Business & Economics |
ISBN | : 1933019123 |
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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.
Author | : Yakov Amihud |
Publisher | : Cambridge University Press |
Total Pages | : 293 |
Release | : 2012-11-12 |
Genre | : Business & Economics |
ISBN | : 1139560158 |
Download Market Liquidity Book in PDF, Epub and Kindle
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.
Author | : Gordon Pepper |
Publisher | : John Wiley & Sons |
Total Pages | : 190 |
Release | : 2006-03-30 |
Genre | : Business & Economics |
ISBN | : 0470032774 |
Download The Liquidity Theory of Asset Prices Book in PDF, Epub and Kindle
Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets. Few, if any, of the providers or recipients of such advice can truly claim to understand the well–springs of such liquidity and the transmission mechanisms through which it impacts asset prices. This groundbreaking new book explores the belief that at the core of liquidity there is a force which exerts individuals to effect a financial transaction when they would not otherwise do so. Understanding this force of compulsion is a key to understanding a financial market when it appears to be behaving irrationally. This book will enable new and seasoned investors to develop an understanding of the factors, so that costly mistakes can be avoided without the lesson of experience.
Author | : François-Serge Lhabitant |
Publisher | : John Wiley & Sons |
Total Pages | : 502 |
Release | : 2008-01-09 |
Genre | : Business & Economics |
ISBN | : 0470181699 |
Download Stock Market Liquidity Book in PDF, Epub and Kindle
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Author | : Yakov Amihud |
Publisher | : |
Total Pages | : 31 |
Release | : 1987 |
Genre | : Liquidity (Economics) |
ISBN | : |
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Author | : Mr.Charles Frederick Kramer |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 1999-12-01 |
Genre | : Business & Economics |
ISBN | : 1451858248 |
Download Global Liquidity and Asset Prices Book in PDF, Epub and Kindle
Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.
Author | : Thierry Foucault |
Publisher | : Oxford University Press |
Total Pages | : 531 |
Release | : 2023 |
Genre | : Capital market |
ISBN | : 0197542069 |
Download Market Liquidity Book in PDF, Epub and Kindle
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author | : Deniz Ozenbas |
Publisher | : Springer Nature |
Total Pages | : 111 |
Release | : 2022 |
Genre | : Business enterprises |
ISBN | : 3030748170 |
Download Liquidity, Markets and Trading in Action Book in PDF, Epub and Kindle
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author | : Justin S. P. Chan |
Publisher | : |
Total Pages | : 49 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Liquidity and Asset Prices in Multiple Markets Book in PDF, Epub and Kindle
Liquidity is generally viewed as a positive characteristic of a traded asset in positive net supply. Ceteris paribus, the higher liquidity of a given asset should be reflected in a higher price or a lower required return. This issue is of particular interest if the same asset is traded in multiple markets. In this setting, apart from the effect of liquidity on pricing in each market, there is the additional question of transmission of these liquidity effects across markets. This paper investigates the liquidity effect in asset pricing by studying the liquidity-premium relationship of an American Depositary Receipt (ADR) and its underlying share in the home market. Using the Amihud (2002) measure, the turnover ratio and trading infrequency as proxies for liquidity, we show that a higher ADR premium is associated with higher ADR liquidity, lower home share liquidity. We measure these effects, in terms of both the levels and changes, in both the premium and the liquidity variables. We find that the liquidity effects remain strong even after we control for firm size and a number of country characteristics, such as the expected change in the foreign exchange rate, the home country and the US stock market performance, as well as several variables measuring the openness and transparency of the home market.