Market liquidity: asset pricing, risk, and crises / [edited by] Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen.
Amihud, Yakov, 1947-; Mendelson, Haim.; Pedersen, Lasse Heje.
2013
HG178 .M37 2013
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Title Market liquidity: asset pricing, risk, and crises / [edited by] Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen.
ISBN 9780521191760 (hardback)
9780521139656 (paperback)
9781139553957 (electronic bk.)
Imprint Cambridge ; New York : Cambridge University Press, 2013.
Language English
Description xiv, 277 p. : ill.
Call Number HG178 .M37 2013
Dewey Decimal Classification 332.63/222
Summary "This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for traders, risk managers, central bankers, performance evaluation, economic policy, regulation of financial markets, management of liquidity crises, and academic research. Liquidity and its converse, illiquidity, are elusive concepts: You know it when you see it, but it is hard to define. A liquid security is characterized by the ability to buy or sell large amounts of it at low cost. A good example is U.S. Treasury Bills, which can be sold in blocks of $20 million dollars instantaneously at the cost of a fraction of a basis point"-- Provided by publisher.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Added Author Amihud, Yakov, 1947-
Mendelson, Haim.
Pedersen, Lasse Heje.
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pt. 1. the effect of liquidity costs on securities prices and returns
pt. 2. Liquidity risk
pt. 3. Liquidity crises.

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