LEADER 05284nam 22007933u 450 001 9910462297003321 005 20210112195212.0 010 $a1-316-08866-9 010 $a1-139-56384-X 010 $a1-139-54899-9 010 $a0-511-84439-5 010 $a1-139-55520-0 010 $a1-139-55395-X 010 $a1-139-55149-3 035 $a(CKB)2670000000270083 035 $a(EBL)989093 035 $a(OCoLC)817928924 035 $a(SSID)ssj0000758239 035 $a(PQKBManifestationID)11414286 035 $a(PQKBTitleCode)TC0000758239 035 $a(PQKBWorkID)10780619 035 $a(PQKB)10314793 035 $a(MiAaPQ)EBC989093 035 $a(EXLCZ)992670000000270083 100 $a20130418d2012|||| u|| | 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMarket Liquidity$b[electronic resource] $eAsset Pricing, Risk, and Crises 210 $aCambridge $cCambridge University Press$d2012 215 $a1 online resource (294 p.) 300 $aDescription based upon print version of record. 311 $a0-521-19176-9 327 $aCover; MARKET LIQUIDITY; Title; Copyright; Contents; Acknowledgments; Introduction and Overview of the Book; PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS; Introduction and Overview; CHAPTER 1 Asset Pricing and the Bid-Ask Spread; Summary and Implications; Asset Pricing and the Bid-Ask Spread*; 1. Introduction; 2. A Model of the Return-Spread Relation; 3. Empirical Tests; 3.1. The Data and the Derivation of the Variables; 3.2. Test Methodology; 3.3. The Results; 4. Firm Size, Spread and Return; 5. Conclusion; References 327 $aCHAPTER 2 Liquidity, Maturity, and the Yields on U.S. Treasury SecuritiesSummary and Implications; Liquidity, Maturity, and the Yields on U.S. Treasury Securities; I. Liquidity and the U.S. Government Securities Market; II. Empirical Tests; A. The Data; B. The Liquidity Effect; C. Maturity Effects; III. Arbitrage Opportunities; IV. Concluding Remarks; References; CHAPTER 3 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange; Summary and Implications; Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange; 1. Introduction 327 $a2. Trading Mechanisms on the Tel Aviv Stock Exchange2.1. The Call Method; 2.2. The Variable Price Method; 2.3. Transfer Procedure; 3. Methodology and Empirical Results; 3.1. The Data; 3.2. Cumulative Abnormal Returns; 3.3. Liquidity Externalities; 3.4. Liquidity, Efficiency and the Trading Mechanism; 3.4.1. Liquidity; 3.4.2. Efficiency; 3.4.3. The Interaction of Liquidity and Efficiency Improvements; 4. Conclusions; References; PART II: LIQUIDITY RISK; Introduction and Overview; CHAPTER 4 Illiquidity and Stock Returns:Cross-Section and Time-Series Effects; Summary and Implications 327 $aIlliquidity and Stock Returns Cross-Section and Time-Series Effects1. Introduction; 2. Cross-Section Relationship Between Illiquidity and Stock Return; 2.1. Measures of Illiquidity; 2.2. Empirical Methodology; 2.3. Stock Characteristics; 2.3.1. Liquidity Variables; 2.3.2. Risk Variables; 2.3.3. Additional Variables; 2.4. Cross-Section Estimation Results; 3. The Effect Over Time of Market Illiquidity on Expected Stock Excess Return; 3.1. Estimation Procedure and Results; 3.2. Market Illiquidity and Excess Returns on Size-Based Portfolios 327 $a3.3. Monthly Data: The Effect of Illiquidity on Stock Excess Returns3.4. Illiquidity Effect, Controlling for the Effects of Bond Yield Premiums; 4. Summary and Conclusion; References; CHAPTER 5 Asset Pricing with Liquidity Risk; Summary and Implications; Asset Pricing with Liquidity Risk; 1. Introduction; 2. Assumptions; 3. Liquidity-Adjusted Capital Asset Pricing Model; 3.1. Three Liquidity Risks; 3.2. Implications of Persistence of Liquidity; 3.3. An Unconditional Liquidity-Adjusted CAPM; 4. Empirical Results; 4.1. The Illiquidity Measure; 4.2. Portfolios; 4.3. Innovations in Illiquidity 327 $a4.4. Liquidity Risk 330 $aThis book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices. 606 $aAssets (Accounting) -- Econometric models 606 $aLiquidity (Economics) -- Econometric models 606 $aLiquidity (Economics) 606 $aMarkets -- Econometric models 606 $aSecurities -- Prices 606 $aLiquidity (Economics)$xPrices 606 $aSecurities 608 $aElectronic books. 615 4$aAssets (Accounting) -- Econometric models. 615 4$aLiquidity (Economics) -- Econometric models. 615 4$aLiquidity (Economics). 615 4$aMarkets -- Econometric models. 615 4$aSecurities -- Prices. 615 0$aLiquidity (Economics)$xPrices 615 0$aSecurities 676 $a332.63/222 676 $a332.63222 700 $aAmihud$b Yakov$f1947-$0985795 701 $aMendelson$b Haim$0985796 701 $aPedersen$b Lasse Heje$0985797 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910462297003321 996 $aMarket Liquidity$92253144 997 $aUNINA