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Liquidity and Asset Prices (Foundations and Trends in Finance) PDF

107 Pages·2005·1.123 MB·English
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by Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen| 2005| 107 pages| 1.123| English

About Liquidity and Asset Prices (Foundations and Trends in Finance)

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. Liquidity and Asset Prices 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.

Detailed Information

Author:Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen
Publication Year:2005
ISBN:9781933019666
Pages:107
Language:English
File Size:1.123
Format:PDF
Price:FREE
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