Market Liquidity [[electronic resource] ] : Asset Pricing, Risk, and Crises

• Autore: Amihud Yakov <1947->
• Pubblicazione: Cambridge, : Cambridge University Press, 2012
• Descrizione fisica: 1 online resource (294 p.)
• Disciplina: 332.63/222; 332.63222
• Soggetto topico: Assets (Accounting) -- Econometric models; Liquidity (Economics) -- Econometric models; Liquidity (Economics); Markets -- Econometric models; Securities -- Prices; Liquidity (Economics) - Prices; Securities
• Soggetto genere / forma: Electronic books.
• Altri autori: MendelsonHaim PedersenLasse Heje
• Note generali: Description based upon print version of record.
• Nota di contenuto: Cover; 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 ; CHAPTER 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 ; 2. 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 ; Illiquidity 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 ; 3.3. 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 ; 4.4. Liquidity Risk
• Sommario/riassunto: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
• Titolo autorizzato: Market Liquidity
• ISBN: 1-316-08866-9; 1-139-56384-X; 1-139-54899-9; 0-511-84439-5; 1-139-55520-0; 1-139-55395-X; 1-139-55149-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910462297003321
• Lo trovi qui: Univ. Federico II