Author: Jean-Paul ThelerPublisher:
ISBN:
Category :
Languages : en
Pages : 95
Book Description
Asset Pricing and Trading Volume
Author: Jean-Paul ThelerAsset Pricing and Trading Volume with Asymmetric Information
Author: Jiang LiPublisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 170
Book Description
Liquidity and Asset Prices
Author: Yakov AmihudPublisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Stock Market Liquidity
Author: François-Serge LhabitantPublisher: John Wiley & Sons
ISBN: 0470181699
Category : Business & Economics
Languages : en
Pages : 502
Book Description
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Asset Pricing and Trading Volume in Heterogenous Agent Models with Incomplete Markets
Author: Jean-Paul ThelerAsset Pricing and Trading Volume
Author: Maxime WavasseurPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This doctoral thesis is organized in three articles. In the first one, we use the Toulouse mills companies data as a suitable testbed for asset pricing theory. More precisely, we provide a proxy for local consumption and perform a relative entropy analysis to extract the stochastic discount factor of this old economy. We found that the model-free pricing kernel correlates with consumption and a standard CRRA-model is not rejected by the data, even for very low risk aversion levels. In the second article, we describe the relationship between trading volume and market composition through a pure theoretical approach. We build a model where the agent preferences depend on his environment and a liquidity shock is collectively experienced by the members of each social group in the economy. We introduce the concept of desirability channel as a necessary condition for a trade to occur and we rely the topology of the network to the expected volume. The third article focus on the role of social status concern in the exchanges dynamic. We propose a setting where two types of goods are available, a positional and a non positional one. By splitting the economy into two social groups, we depict how trades take place over time regarding to these social groups. The model predictions are finally tested on the historical support of the Toulouse mills companies.
Trading volume : implications of an intertemporal capital asset pricing model
Author: Andrew Wen-Chuan LoHandbook of Behavioral Economics - Foundations and Applications 1
Author: Publisher: Elsevier
ISBN: 0444633898
Category : Business & Economics
Languages : en
Pages : 749
Book Description
Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics Written for those who wish to become quickly acquainted with behavioral economics
Trading Volume
Author: Andrew W. LoPublisher:
ISBN:
Category :
Languages : en
Pages : 65
Book Description
We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return provides the best predictor of future market returns and its return together with the return of the market portfolio are the two risk factors determining the cross-section of asset returns.
Market Liquidity
Author: Yakov AmihudPublisher: Cambridge University Press
ISBN: 1139560158
Category : Business & Economics
Languages : en
Pages : 293
Book Description
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.