Liquidity and Asset Prices

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Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen - Liquidity and Asset Prices

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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关键词：Liquidity Liquid Prices Price Asset literature evidence required security discuss

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1# terrytong

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Nice to read

下载了，谢谢啊！

terrytong 发表于 2011-1-21 13:40
Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen - Liquidity and Asset Prices

Liquidity and  ...

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