Market Liquidity: Asset Pricing, Risk, and Crises

ISBN: 9780521139656 出版年：2012 页码：294 Amihud Mendelson Pedersen Cambridge University Press

Introduction Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen Part I. Liquidity: The Effect of Trading Costs on Securities Prices and Returns: 1. Asset pricing and the bid-ask spread Yakov Amihud and Haim Mendelson 2. Liquidity, maturity, and the yield on US Treasury securities Yakov Amihud and Haim Mendelson 3. Market microstructure and securities values: evidence from the Tel Aviv stock exchange Yakov Amihud, Haim Mendelson and Beni Lauterbach Part II. Liquidity Risk: 4. Illiquidity and stock returns: cross-section and time-series effects Yakov Amihud 5. Asset pricing with liquidity risk Viral V. Acharya and Lasse Heje Pedersen Part III. Liquidity Crises: 6. Market liquidity and funding liquidity Markus Brunnermeier and Lasse Heje Pedersen 7. Liquidity and the 1987 stock market crash Yakov Amihud, Haim Mendelson and Robert A. Wood 8. Slow moving capital Mark Mitchell, Lasse Heje Pedersen and Todd Pulvino.