The empirical analysis of liquidity

著者

• Holden, Craig W.
• Jacobsen, Stacey
• Subrahmanyam, Avanidhar

書誌事項

The empirical analysis of liquidity

Craig W. Holden, Stacey Jacobsen, Avanidhar Subrahmanyam

（Foundations and trends in finance, v. 8, issue 4）

now Publishers, c2014

注記

Includes bibliographical references

内容説明・目次

内容説明

The Empirical Analysis of Liquidity starts with an overview of how liquidity is Measured and specialized issues in liquidity Measurement. Next, it examines what is known about cross-sectional and time-Series patterns in liquidity. The authors then review how liquidity relates to the corporate finance literature, including governance, executive compensation, capital structure, and payout policy. They also review how liquidity influences the asSet pricing literature, including return differentials due to average liquidity cost, liquidity premia for systematic liquidity risks, the impact of liquidity on market efficiency, and the impact of liquidity on the law of one Price. Finally, some open questions and opportunities for future research are discussed. The Empirical Analysis of Liquidity is organized as follows. Section 2 considers the approaches taken to Measure liquidity. Section 3 considers cross-sectional and time-Series patterns in liquidity, commonality it liquidity, the impact of exchange design, the impact of exogenous policy shifts on liquidity, and the impact of high-frequency traders. Section 4 analyzes the relation between liquidity and corporate financial decisions. Section 5 explores the impact of liquidity on asSet pricing, and Section 6 concludes with directions for future research.

目次

Introduction How Liquidity Is Measured Patterns in Liquidity Liquidity and Corporate Finance Liquidity and AsSet Pricing Suggestions for Future Research References

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詳細情報

• NII書誌ID(NCID): BB28350633
• ISBN:
  • 9781601988744
• 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: Boston
• ページ数/冊数: x, 107 p.
• 大きさ: 24 cm
• 親書誌ID:
  • BA82615022