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TY  - BOOK
ID  - 36750908
TI  - Financial market liquidity : asset pricing, risk, and crisis.
AU  - Amihud, Yakov
AU  - Mendelson, Haim
AU  - Pedersen, Lasse Heje
PY  - 2013
SN  - 0521191769 1139548999 0511844395 1139555200 113955395X 1139551493 1316088669 113956384X 9781139548991 9780511844393 9781139551496 9781139553957 9780521191760 9780521139656 0521139651
PB  - Cambridge Cambridge University
DB  - UniCat
KW  - Business, Economy and Management
KW  - Economics
KW  - Assets (Accounting) -- Econometric models.
KW  - Liquidity (Economics) -- Econometric models.
KW  - Liquidity (Economics).
KW  - Markets -- Econometric models.
KW  - Securities -- Prices.
KW  - Liquidity (Economics)
KW  - Securities
KW  - Prices
KW  - Blue sky laws
KW  - Capitalization (Finance)
KW  - Investment securities
KW  - Portfolio
KW  - Scrip
KW  - Securities law
KW  - Underwriting
KW  - Investments
KW  - Investment banking
KW  - Assets, Frozen
KW  - Frozen assets
KW  - Finance
KW  - Law and legislation
KW  - E-books
KW  - 305.91
KW  - 333.613
KW  - 333.640
KW  - AA / International- internationaal
KW  - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles
KW  - Activiteiten van de nationale en internationale markten. Beursnoteringen van aandelen en obligaties
KW  - Beursverrichtingen: algemeenheden
KW  - Prices.
UR  - https://www.unicat.be/uniCat?func=search&query=sysid:36750908
AB  - 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.
ER  -