Liquidity and Asset Prices

Liquidity and Asset Prices
Author :
Publisher : Now Publishers Inc
Total Pages : 109
Release :
ISBN-10 : 9781933019123
ISBN-13 : 1933019123
Rating : 4/5 (123 Downloads)

Book Synopsis Liquidity and Asset Prices by : Yakov Amihud

Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


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