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Market Liquidity: Asset Pricing, Risk, and Crises Paperback – 17 Jan 2013

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Product details

  • Paperback: 292 pages
  • Publisher: Cambridge University Press (17 Jan. 2013)
  • Language: English
  • ISBN-10: 0521139651
  • ISBN-13: 978-0521139656
  • Product Dimensions: 15.2 x 1.7 x 22.8 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 481,580 in Books (See Top 100 in Books)
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Product description

Review

'These authors were writing and teaching about the importance of understanding liquidity way before we all learned more about it than we cared to. They have made major contributions to understanding the real, not purely theoretical, world that investors face every day. Gathering their seminal work in one place along with updated perspectives and overviews is a serious contribution.' Cliff Asness, AQR Capital Management

'Over the past quarter century, the research contributions of Amihud, Mendelson, and Pedersen have been central to an understanding of the determinants and pricing of market liquidity and liquidity risk. This collection places the best available work on the topic between two covers. It must be read by anyone following this subject area.' Darrell Duffie, Stanford University

'The liquidity of financial markets has never been a more important topic of research and policy and this book gives a very accessible way to understand both the traditional and current research. The book reproduces eight papers that range from the seminal work that defined the field starting in the 1980s to the recent research based on the analysis of the financial crisis. A particular feature of the book is the series of extended introductions to each of the papers, written nontechnically to summarize each paper and how it fits into future research - they will transport you to a first rate graduate classroom.' Robert Engle, Nobel Laureate and Director, Volatility Institute, New York University

'The term 'market liquidity' means different things to different people at different times. Distinguishing, defining, and measuring the different meanings is an important activity, especially now, after four years of financial crises. This collection of scientific papers by eminent scholars is an important contribution to understanding market frictions and arrangements to manage them.' Thomas Sargent, Nobel Laureate, New York University

'The authors have made substantial contributions in microstructure, and especially in the understanding of liquidity, for years. This collection of their best articles on liquidity is particularly timely given the growing realization of the macro pathology caused by a financial-crisis-induced recession. They present strong evidence that a liquidity spiral hurts post-recession real investment.' David Whitcomb, author of Securities Market Microstructure and Founder, Automated Trading Desk

Book Description

This book is about the pricing of liquidity in securities markets. The book then explains how liquidity crises create downward price and liquidity spirals. The analysis has implications for traders, risk managers, performance evaluation, economic policy, regulation of financial markets, management of liquidity crises and academic research.

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Top Customer Reviews

Format: Paperback Verified Purchase
GREAT BOOK! I love it. REALLY USEFUL AND INSIGHTFUL! However all the papers in this book can be downloaded from website.
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Most Helpful Customer Reviews on Amazon.com (beta) (May include reviews from Early Reviewer Rewards Program)

Amazon.com: 4.5 out of 5 stars 2 reviews
2 of 2 people found the following review helpful
4.0 out of 5 stars excellent set of papers 24 Jun. 2014
By Donna M. Howe - Published on Amazon.com
Format: Kindle Edition Verified Purchase
this is a hot topic at present. These authors provide an excellent view of the current state of the field as well as what questions are till left to be answered.
5.0 out of 5 stars A very in-depth book on market liquidity 21 July 2016
By Fred Zhikang Yu - Published on Amazon.com
Format: Paperback
This book focuses on just one topic: market liquidity.

I didn't know liquidity was priced so significantly in asset prices until finishing reading this book.

This book gave me many thoughts on other topics like HFT ban in some countries, emerging market companies delisting from US and listing in home country and so on.
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