Liquidity and Asset Prices

@article{Amihud2005LiquidityAA,
  title={Liquidity and Asset Prices},
  author={Yakov Amihud and Haim Mendelson and Lasse Heje Pedersen},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2005}
}
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling for traditional risk measures and asset characteristics. Liquidity-based asset pricing empirically helps explain (1) the cross-section… 
Stock and Bond Liquidity and its Effect on Prices and Financial Policies
An asset is liquid if it can be traded at the prevailing market price quickly and at low cost. We show that in addition to risk, liquidity affects asset prices and returns. Theories of asset pricing
Money, Asset Prices, and the Liquidity Premium
This paper examines the effect of monetary policy on the liquidity premium, i.e., the market value of the liquidity services that financial assets provide. To guide the empirical analysis, I set up a
Essays on liquidity and asset pricing
The thesis is comprised of two parts. First part is devoted to liquidity of the stock market and its interaction with holding horizon. I start from investigating relative importance of liquidity
Stock Returns and the Volatility of Liquidity
This paper offers a rational explanation for the puzzling empirical fact that stock returns decrease in the volatility of liquidity. We model liquidity as a stochastic price impact process and define
Asset-Specific and Systematic Liquidity on the Swedish Stock Market
This essay studies the effect of liquidity on stock returns on the Swedish stock market. Liquidity is addressed both as a market risk factor and an asset characteristics. We use the relative bid-ask
The Volatility of Liquidity and Expected Stock Returns
We document a positive relation between the volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. We show
Liquidity in equity markets
This thesis aims to explore stock liquidity, a crucial attribute of financial assets, in US market. In particular, this research attempts to address a number of issues in the theoretical study of
Investors valuation for assets liquidity and safety and the corporate-treasury yield
The present study seeks to explain the non-default component of corporateU.S. Treasury yield spreads. This is done by assuming, along the lines of Krishnamurthy and Vissing-Jorgensen (2012), that
Quantitative Implications of Liquidity Constraints for Asset Prices and Monetary Policy
This paper investigates quantitative significance of liquidity constraints for asset prices and monetary policy in a monetary economy version of Kiyotaki and Moore (2005). Motivated by the lack of
Liquidity, consumption, and the cross-sectional returns
  • Di Luo
  • Economics, Business
  • 2014
My thesis attempts to examine the determinants of the cross-sectional stock returns. It mainly consists of three topics on the relation between consumption, stock liquidity, financial constraints,
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 261 REFERENCES
Liquidity and Asset Prices in Multiple Markets
Liquidity is generally viewed as a positive characteristic of a traded asset in positive net supply. Ceteris paribus, the higher liquidity of a given asset should be reflected in a higher price or a
Liquidity, Asset Prices and Financial Policy
Liquidity is an important factor in asset pricing. For both stocks and bonds, the lower the liquidity of an asset (that is, the higher the cost of trading it), the higher the return it is expected to
Liquidity risk and asset pricing
In this dissertation, I investigate the effect of liquidity risk on asset pricing. In the first essay, I test the liquidity-adjusted capital asset pricing model (LCAPM) of Acharya and Pedersen (2005)
Liquidity and Expected Returns: Lessons from Emerging Markets
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity
Trading activity and expected stock returns
Large Investors: Implications for Equilibrium Asset, Returns, Shock Absorption, and Liquidity
The growing share of financial assets that are held and managed by large institutional investors whose desired trades move asset prices is at odds with the traditional competitive assumption that
Asset Pricing with Liquidity Risk
This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as
Presidential Address : Liquidity and Price Discovery
This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and
...
1
2
3
4
5
...