Liquidity and asset prices

著者

• Amihud, Yakov
• Mendelson, Haim
• Pedersen, Lasse Heje

書誌事項

Liquidity and asset prices

Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen

Now, c2006

注記

Includes bibliographical references

"Foundation and Trends in Finance" v. 1, issue 4, 2005

内容説明・目次

内容説明

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 security's required return and discuss the empirical connection between the two. The book 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.

目次

1. Introduction. 2. Theory 3. Empirical Evidence

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA82895472
• ISBN:
  • 1933019123
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Hanover, Mass.
• ページ数/冊数: ix, 96 p.
• 大きさ: 24 cm