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Market Liquidity: Asset Pricing, Risk, and Crises

By: Material type: TextTextPublication details: UK Cambridge University 2013Description: 277pISBN:
  • 9780521139656
DDC classification:
  • 332.6/AMI
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General Books General Books Colombo 332.6/AMI Available

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Enhanced descriptions from Syndetics:

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.

£22.99

Table of contents provided by Syndetics

  • Introduction
  • Part I Liquidity: The Effect of Trading Costs on Securities Prices and Returns:
  • 1 Asset pricing and the bid-ask spread
  • 2 Liquidity, maturity, and the yield on U.S. Treasury securities
  • 3 Market microstructure and securities values: evidence from the Tel Aviv stock exchange
  • Part II Liquidity Risk:
  • 4 Illiquidity and stock returns: cross-section and time-series effects
  • 5 Asset pricing with liquidity risk
  • Part III Liquidity Crises:
  • 6 Market liquidity and funding liquidity Markus Brunnermeier and Lasse
  • 7 Liquidity and the 1987 stock market crash
  • 8 Slow moving capital

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