Liquidity and Asset Prices 在之前的一些介绍中,我们知道了市场中存在的各种行为对于市场流动性的影响,而这个部分将更确切的学习流动性对于资产价格的影响。 在之前的介绍中,我们通常会认为流动性会影响资产的 bid-ask spread ,当然spread是市场流动性的一种具体的评估方式,然而实际上流动性也是会影响到资产价值的,举...
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Asset PricesWe 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 ...
(2011) `Liquidity and Asset Prices: How Strong are the Linkages?', Review of Economics & Finance. Better Advances Press, Canada, 1, pp. 43-52.Dreger, C., Wolters, J., (2009), "Liquidity and Asset Prices: How Strong are the Linkages?" Discussion Papers No. 860, DIW Berlin, German...
Liquidity can thus play a role in resolving a number of asset pricing puzzles such as the small-firm effect, the equity premium puzzle, and the risk-free rate puzzle. 展开 关键词:Liquidity Liquidity Risk Asset Prices DOI: 10.1561/0500000003 被引量: 1063 ...
I outline the short squeeze e¤ect and show that the probability of a squeeze is consistent with the empirical observation that highly-shorted stocks experience signi…cant negative abnormal returns. In addition, speci…c testable implications of the short-squeeze model are examined with NYSE-AMEX ...
Value-at-risk-based risk management: optimal policies and asset prices. :Investigates the implications of value-at-risk-based risk management (VaR-RM) for optimal portfolio policies, wealth choice and equilibrium prices. Propos... Basak,Suleyman,Shapiro,... - 《Review of Financial Studies》 被...
Bustling expected changes in liquidity and asset prices 翻译结果4复制译文编辑译文朗读译文返回顶部 It is expected that bustling, mobility and asset price changes 翻译结果5复制译文编辑译文朗读译文返回顶部 Lively anticipated, fluid change and property price ...
Liquidity and Asset Prices We show in an exchange economy with liquidity constraints that the volume of trade and asset prices depend on both the supply of liquidity by the Central Bank and on the liquidity of assets and commodities. As a result, monetary aggregat... RA Espinoza,D Tsomocos ...
Asset prices, liquidity, and monetary policy in the search theory of money. FRB of Minneapolis Quarterly Review, 3312, 14-20.Lagos, R. (2010): "Asset Prices, Liquidity, and Monetary Policy in the Search Theory of Money," Federal Reserve Bank of Minneapolis Quarterly Review, 33(1), 14-...