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.
Download or read book The Relationship Between Liquidity and Stock Returns written by Pattanachai Sathidmangkang and published by . This book was released on 2013 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Volatility of Liquidity and Expected Stock Returns written by Ferhat Akbas and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. Furthermore, we document that total volatility of liquidity is priced in the presence of systematic liquidity risk: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggregate liquidity, and the covariance of stock liquidity with the market return. The separate pricing of total volatility of liquidity indicates that idiosyncratic liquidity risk is important in the cross section of returns. This result is puzzling in light of Acharya and Pedersen (2005) who develop a model in which only systematic liquidity risk affects returns. The positive correlation between the volatility of liquidity and expected returns suggests that risk averse investors require a risk premium for holding stocks that have high variation in liquidity. Higher variation in liquidity implies that a stock may become illiquid with higher probability at a time when it is traded. This is important for investors who face an immediate liquidity need and are not able to wait for periods of high liquidity to sell. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/150946
Download or read book Liquidity Liquidity Risk and Stock Returns Evidence from Vietnam written by Xuan Vinh Vo and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The question of whether liquidity is priced is a subject for a huge volume of papers in the asset pricing literature. The common results are a negative relationship between these two variables as investors demand for higher returns to compensate for higher stock volatility. This paper investigates the relationship between liquidity and stock return in Vietnam by employing an updated dataset of market and financial data of listed companies in Ho Chi Minh City stock exchange ranging from 2007 to 2012. Our results are proving the reverse. In other words, we document a reliable positive relationship between liquidity measures and stock returns and negative relationship between illiquidity measures and stock returns. We also confirm the results by controlling for many frequently used factors determining stock returns which are well documented in the literature. However, we do not find evidence in supporting the relation between risk associated with fluctuation in liquidity and stock returns.
Download or read book Essays on Liquidity and Stock Returns written by Sai-Pang Chan and published by . This book was released on 2004 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Liquidity Risk and Expected Stock Returns written by Ľuboš Pástor and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5% annually, adjusted for exposures to the market return as well as size, value, and momentum factors.
Download or read book The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2013 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Download or read book Liquidity and Stock Returns written by Rune Dalgaard and published by . This book was released on 2009 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: Strong evidence of a return premium for illiquidity nor a return premium for liquidity risk. There are, however, indications of ? an annualised illiquidity return premium in the range 400 - 520bp per 100bp of increase in the relative spread, ? an annualised illiquidity return premium in the range 62 - 71bp per 100bp decrease in the turnover rate, ? a liquidity risk premium in the range 570 - 590bp per unit of relative bid-ask spread sensitivity, and ? a liquidity risk premium of approximately 1080bp per unit of turnover rate sensitivity The findings are not robust, so they should be considered with a certain amount of criticism. However, the findings still give an indication of the relationship between liquidity and stock returns in Denmark.
Download or read book Cross Sectional Stock Returns in the UK Market written by Chensheng Lu and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between liquidity and stock returns has been investigated extensively in recent years. Using the UK data, we show that there is a sizeable difference in the cross-sectional returns between liquid and illiquid assets. Liquidity together with book-to-market equity explains cross-sectional returns. Furthermore, the well-documented value premium can be explained by a liquidity-augmented CAPM, and this result is robust in the presence of distress factor and a battery of macroeconomic variables.
Download or read book The Chinese written by and published by . This book was released on 1851 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2012-11-12 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.
Download or read book Liquidity and Stock Returns written by Thomas Chinan Chiang and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the relation between expected excess stock returns and illiquidity risk in G7 markets. By conducting panel regressions on monthly data for 20 years, evidence shows that excess stock returns of the G7 countries are positively correlated with market illiquidity risk, but are negatively correlated with the innovation of firm-level illiquidity. Applying the model to the portfolio analysis, the evidence shows that the market-level illiquidity risk has a more profound effect on excess stock returns for large stocks, growth stocks, more liquid stocks, lower idiosyncratic risk stocks, and lower skewness stocks. However, the innovation from firm-level illiquidity has a stronger effect on small stocks, value stocks, more illiquid stocks, higher idiosyncratic risk stocks, lower skewness stocks, and lower kurtosis stocks.
Download or read book The Legacy of Fischer Black written by Bruce N. Lehmann and published by Oxford University Press. This book was released on 2005 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fischer Black was a remarkable social scientist, one whose contributions range from the lofty perch of highbrow theory to the trenches of practical application. The papers represented in this work span the same range, the contributions of a remarkable array of financial economists who embody in different ways Fischer's ideal of insight from economic theory that both guides and is rooted in the kind of detailed observation of relevant aspects of actual financial markets. It is hoped that readers find this volume to be both a fitting tribute and a stimulus to further research. After all, the advancement of economic science remained a constant goal throughout Fischer's remarkable career in the many and disparate venues in which he plies his trade.
