Электронный каталог - Electronic Catalogue

Книга
336 A48

Amihud, Y.
Market liquidity : asset pricing, risk, and crises / Y. Amihud, H. Mendelson, T. Pedersen . – Cambridge : Cambridge University Press, 2013 . – 277 p. – На англ. яз. - ISBN 978-0-521-13965-6 .

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. Internationally renowned financial professors show the importance of liquidity in determining securities prices and returns. Highlights the role of liquidity risk in the recent financial crisis. Explains how investors can benefit from understanding the effects of liquidity and liquidity risk.

336

General = Finance. Banks. Credit. Stock Market
Коллекции = Открытая научная библиотека