NYU Stern
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Market Liquidity: Asset Pricing, Risk and Crises

By Yakov Amihud, the Ira Rennert Professor of Entrepreneurial Finance and Lasse Pedersen, the John A. Paulson Professor of Finance and Alternative Investments

articleb_Market Liquidity

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

In their new book, Yakov Amihud, the Ira Rennert Professor of Entrepreneurial Finance; Lasse Pedersen, the John A. Paulson Professor of Finance and Alternative Investments; and Haim Mendelson demonstrate the important role of liquidity in asset pricing. The authors present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices and why liquidity crises create liquidity spirals. The analysis has implications for traders, risk managers, central bankers, performance evaluation, economic policy, regulation of financial markets, management of liquidity crises and academic research.


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