Liquidity and Asset Prices (Foundations and Trends Yakov Amihud

ISBN: 9781933019123

Published: December 1st 2005

Paperback

108 pages


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Liquidity and Asset Prices (Foundations and Trends  by  Yakov Amihud

Liquidity and Asset Prices (Foundations and Trends by Yakov Amihud
December 1st 2005 | Paperback | PDF, EPUB, FB2, DjVu, talking book, mp3, RTF | 108 pages | ISBN: 9781933019123 | 6.70 Mb

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 securitys required return and discuss theMoreLiquidity 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 securitys 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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