Market liquidity
Subtitle: asset pricing, risk, and crises
By: [edited by] Yakov Amihud, Stern School of Business, New York University, Haim Mendelson, Graduate School of Business, Stanford University, Lasse Heje Pedersen, Stern School of Business, New York University
Publisher: Cambridge University Press
Published: 2013
Place of publication: Cambridge
Language: eng
Number of pages: 292
ISBN-13: 9780521191760; 9780521139656
Subjects: Securities; Prices; Liquidity (Economics); BUSINESS & ECONOMICS / Accounting / Financial
Description: "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"--
Notes: Includes bibliographical references and index.