Market Liquidity: Asset Pricing, Risk, and Crises

Yakov Amihud A · Haim Mendelson · Lasse Heje Pedersen

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

Abstract

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.

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1981Credit Rationing in Markets with Imperfect Information 1983Bank Runs, Deposit Insurance, and Liquidity 1985Continuous Auctions and Insider Trading 1990Noise Trader Risk in Financial Markets

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