Market liquidity

Market liquidity: asset pricing, risk, and crises

by Amihud, Yakov Mendelson, Haim Pedersen, Lasse Heje

Type Book
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"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,…

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Title Statements

  • Full title :Market liquidity : asset pricing, risk, and crises / 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.

Summary

"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

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Edition Statements

  • Publication Date:2013.

Publication Statements

The Physical Object

  • Description:1 online resource (1 recurso electrónico.)

Edition Identifiers

  • ISBN:9781139548991, 1139548999, 9780511844393, 0511844395, 9781139551496, 1139551493, 9781139553957, 113955395X
  • oclc:on1105491914
  • Dewey Decimal:332.63/222

Table of Contents

Pt. 1. the effect of liquidity costs on securities prices and returns -- pt. 2. Liquidity risk -- pt. 3. Liquidity crises.

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Writers

Amihud, Yakov Mendelson, Haim Pedersen, Lasse Heje

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