Liquidity and Asset Prices (Foundations and Trends in...

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Liquidity and Asset Prices (Foundations...

Liquidity and Asset Prices (Foundations and Trends in Finance)

Name: Liquidity and Asset Prices (Foundations and Trends in Finance)
ISBN: 9781933019666

Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen

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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.

Κατηγορίες:

Business & Economics - Mathematical Economics

Έτος:

2005

Γλώσσα:

english

Σελίδες:

108

ISBN 10:

1933019662

ISBN 13:

9781933019666