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Market Liquidity, Amihud

Автор: Amihud
Название:  Market Liquidity
Издательство: Cambridge Academ

ISBN: 0521139651
ISBN-13(EAN): 9780521139656
ISBN: 0-521-13965-1
ISBN-13(EAN): 978-0-521-13965-6
Обложка/Формат: Paperback
Страницы: 292
Вес: 0.398 кг.
Дата издания: 17.01.2013
Язык: ENG
Иллюстрации: 2012 228 x 152 mm 328pp 32 b/w illus. 27 ta
Размер: 154 x 229 x 16
Читательская аудитория: finance, economics, business, statistics, applied mathematics, computational science
Поставляется из: Англии
Описание: 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.
Дополнительное описание:

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Market Liquidity: Theory, Evidence, and Policy

Автор: Foucault, Thierry
Название: Market Liquidity: Theory, Evidence, and Policy
ISBN: 0199936242 ISBN-13(EAN): 9780199936243
Издательство: Oxford Academ
Цена: 23280 T
Наличие на складе: Поставка под заказ.
Описание: The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery.

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Equity Markets in Action: The Fundamentals of Liquidity, Market Structure & Trading + CD

Автор: Robert A. Schwartz
Название: Equity Markets in Action: The Fundamentals of Liquidity, Market Structure & Trading + CD
ISBN: 047146922X ISBN-13(EAN): 9780471469223
Издательство: Wiley
Цена: 35060 T
Наличие на складе: Поставка под заказ.
Описание: This is an in-depth look at the nature of market making and exchanges. From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.

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Stock Market Liquidity: Implications for Market Mi crostructure and Asset Pricing

Автор: Lhabitant
Название: Stock Market Liquidity: Implications for Market Mi crostructure and Asset Pricing
ISBN: 0470181699 ISBN-13(EAN): 9780470181690
Издательство: Wiley
Цена: 37990 T
Наличие на складе: Поставка под заказ.
Описание: Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In "Stock Market Liquidity", editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today's markets.

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TrimTabs Investing: Using Liquidity Theory to Beat the Stock Market

Автор: Charles Biderman
Название: TrimTabs Investing: Using Liquidity Theory to Beat the Stock Market
ISBN: 0471697206 ISBN-13(EAN): 9780471697206
Издательство: Wiley
Цена: 11100 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Whether you are an investment professional managing billions of dollars or an individual investor with a small nest egg, TrimTabs Investing shows you how to beat the major stock market averages with less risk. This groundbreaking book begins by comparing the stock market to a casino in which the house (public companies and the insiders who run them) buys and sells shares with the players (institutional and individual investors). TrimTabs Investing argues that stock prices are primarily a function of liquidity the amount of shares available for purchase and the amount of money available to buy them rather than fundamental value. Finally, it outlines the building blocks of liquidity theory and explains how you can use them to predict the direction of the stock market. "Charles Biderman, a savvy and battle--scarred veteran of the investment wars, has fashiod an intriguing approach to making money in the stock market that adroitly avoids both heavy--breathing speculation and the standard Wall Street practices that enable investors, big and small, to lose money in good markets as well as bad. Aimed at the sophisticated investor (which may or may not be an oxymoron), the book is written in blessedly straightforward prose and is a worthwhile read for anyone with an urge to have a fling at investing.----Alan Abelson Barron's "Since the days of Joseph and Pharaoh, it has been axiomatic that the size of the grain harvest affects the level of grain prices; but today's investors have been slow to appreciate the fact that the supply of stock shares significantly determines the level of stock prices. Biderman's long overdue book outlines the theory and evidence behind 'Trading Float,' the actual and exploitable power behind major moves in the stock market. ----Paul Montgomery CEO and CIO of Montgomery Capital Management "'Trade as corporate execs do, not as they say.' Charles Biderman has built an impressive list of hedge fund clients from this essential insight, and this book does a great job explaining exactly how retail investors can incorporate it into their investing." ----Eric Zitzewitz Assistant Professor of Economics, Stanford Graduate School of Business "Charles Biderman is a smart thinker, clear writer and he offers here some very interesting ideas. This book is for the little guy who enjoys reading about money and economics, even if he doesn't adopt the strategies offered here; and for the professional or sophisticated investor, who, to a greater or lesser degree, just might.----Andrew Tobias author of The Only Investment Guide You'll Ever Need

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Market Liquidity Risk

Автор: van der Merwe Andria
Название: Market Liquidity Risk
ISBN: 1137390441 ISBN-13(EAN): 9781137390448
Издательство: Springer
Цена: 46740 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or future interest in liquidity models, market structures, and trading mechanisms.

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Liquidity Risk

Автор: Banks
Название: Liquidity Risk
ISBN: 1403933995 ISBN-13(EAN): 9781403933997
Издательство: Springer
Цена: 153450 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Liquidity Risk is a comprehensive treatment of the topic focusing on the nature of the risk, problems that arise in asset and funding liquidity and mechanisms that can be developed to monitor, measure and control such risks.

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Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

Автор: Dynkin Lev, Phelps Bruce, Hyman Jay
Название: Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk
ISBN: 1118117697 ISBN-13(EAN): 9781118117699
Издательство: Wiley
Цена: 52590 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds--spread, liquidity, and Treasury yield curve risk--as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

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Money, Payments, and Liquidity

Автор: Nosal Ed
Название: Money, Payments, and Liquidity
ISBN: 0262016281 ISBN-13(EAN): 9780262016285
Издательство: Wiley
Цена: 18670 T
Наличие на складе: Поставка под заказ.

Two experts in monetary policy offer a unified framework for studying the role of money and liquid assets in the economy.

In Money, Payments, and Liquidity, Ed Nosal and Guillaume Rocheteau provide a comprehensive investigation into the economics of money and payments by explicitly modeling trading frictions between agents. Adopting the search-theoretic approach pioneered by Nobuhiro Kiyotaki and Randall Wright, Nosal and Rocheteau provide a logically coherent dynamic framework to examine the frictions in the economy that make money and liquid assets play a useful role in trade. They discuss the implications of such frictions for the suitable properties of a medium of exchange, monetary policy, the cost of inflation, the inflation-output trade-off, the coexistence of money, credit, and higher return assets, settlement, and liquidity.
After presenting the basic environment used throughout the book, Nosal and Rocheteau examine pure credit and pure monetary economies, and discuss the role of money, different pricing mechanisms, and the properties of money. In subsequent chapters they study monetary policy, the Friedman rule in particular, and the relationship between inflation and output under different information structures; economies where monetary exchange coexists with credit transactions; the coexistence of money and other assets such as another currency, capital, and bonds; and a continuous-time version of the model that describes over-the-counter markets and different dimensions of liquidity (bid-ask spreads, trade volume, trading delays).

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Liquidity Risk, Efficiency and New Bank Business Models

Название: Liquidity Risk, Efficiency and New Bank Business Models
ISBN: 3319308181 ISBN-13(EAN): 9783319308180
Издательство: Springer
Цена: 63240 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides insight into current research topics in finance and banking in the aftermath of the financial crisis. In this volume, authors present empirical research on liquidity risk discussed in the context of Basel III and its implications. Chapters also investigate topics such as bank efficiency and new bank business models from a business diversification perspective, the effects on financial exclusion and how liquidity mismatches are related with the bank business model. This book will be of value to those with an interest in how Basel III has had a tangible impact upon banking processes, particularly with regard to maintaining liquidity, and the latest research in financial business models.

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Inside and Outside Liquidity

Автор: Holmstr`om Bengt
Название: Inside and Outside Liquidity
ISBN: 0262015781 ISBN-13(EAN): 9780262015783
Издательство: Wiley
Цена: 15160 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Two leading economists develop a theory explaining the demand for and supply of liquid assets.

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Islamic Capital Markets and Products: Managing Cap ital and Liquidity Requirements Under Basel III

Автор: Archer
Название: Islamic Capital Markets and Products: Managing Cap ital and Liquidity Requirements Under Basel III
ISBN: 1119218802 ISBN-13(EAN): 9781119218807
Издательство: Wiley
Цена: 58440 T
Наличие на складе: Поставка под заказ.
Описание: Ensure Basel III compliance with expert analysis specific to Islamic Finance Islamic Capital Markets and Products provides a thorough examination of Islamic capital markets (ICM), with particular attention to the products that they offer and the legal and regulatory infrastructure within which they operate.

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Systemic Liquidity Risk and Bipolar Markets

Автор: Corcoran Clive M
Название: Systemic Liquidity Risk and Bipolar Markets
ISBN: 1118409337 ISBN-13(EAN): 9781118409336
Издательство: Wiley
Цена: 28040 T
Наличие на складе: Поставка под заказ.
Описание: The dramatic and well chronicled crisis of 2007/8 marked a watershed moment for all stakeholders in global capital markets. In the aftermath, financial markets have become even more tightly coupled as correlations in returns across multiple asset classes have been at historically elevated levels.

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