ENGLISH

Liquidity and Asset Prices (Foundations and Trends in Finance)

By Yakov Amihud , Haim Mendelson , Lasse Heje Pedersen

Book information

Year
2005
ISBN
1933019123, 9781933019123, 9781933019666
Open Library ID
OL8811983M
Language
english
Format
PDF
Filesize
1 MB (1177042 bytes)
Pages
108\107
Topic
Economy
Time added
2011-06-04 13:46:07

Description

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.

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