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Author: Weimin Liu Publisher: ISBN: Category : Languages : en Pages : 53
Book Description
This paper examines the role of liquidity risk in explaining the cross-section of asset returns using a new measure of liquidity that captures its multi-dimensional nature. This new measure earns a robust liquidity premium that the CAPM and the Fama-French three-factor model cannot explain. I find that a two-factor (market and liquidity) model performs better in explaining the cross-section of stock returns than the CAPM and the Fama-French three-factor model. It not only describes the liquidity premium, but it also subsumes documented anomalies associated with size, book-to-market, cashflow-to-price, earnings-to-price, dividend yield, and long-term contrarian investment. The model also accounts for price momentum after taking into account transaction costs.
Author: Weimin Liu Publisher: ISBN: Category : Languages : en Pages : 53
Book Description
This paper examines the role of liquidity risk in explaining the cross-section of asset returns using a new measure of liquidity that captures its multi-dimensional nature. This new measure earns a robust liquidity premium that the CAPM and the Fama-French three-factor model cannot explain. I find that a two-factor (market and liquidity) model performs better in explaining the cross-section of stock returns than the CAPM and the Fama-French three-factor model. It not only describes the liquidity premium, but it also subsumes documented anomalies associated with size, book-to-market, cashflow-to-price, earnings-to-price, dividend yield, and long-term contrarian investment. The model also accounts for price momentum after taking into account transaction costs.
Author: Yakov Amihud Publisher: 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.
Author: Moorad Choudhry Publisher: John Wiley & Sons ISBN: 1119141060 Category : Business & Economics Languages : en Pages : 384
Book Description
Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Author: Harold Kent Baker Publisher: ISBN: 0199375879 Category : Business & Economics Languages : en Pages : 623
Book Description
During the past few decades, private equity (PE) has attracted considerable attention from investors, practitioners, and academicians. In fact, a substantial literature on PE has emerged. PE offers benefits for institutional and private wealth management clients including diversification and enhancement of risk-adjusted returns. However, several factors such as liquidity concerns, regulatory restrictions, and the lack of transparency limit the attractiveness of some PE options to investors. The latest volume in the Financial Markets and Investments Series, Private Equity: Opportunities and Risks offers a synthesis of the theoretical and empirical literature on PE in both emerging and developed markets. Editors H. Kent Baker, Greg Filbeck, Halil Kiymaz and their co-authors examine PE and provide important insights about topics such as major types of PE (venture capital, leveraged buyouts, mezzanine capital, and distressed debt investments), how PE works, performance and measurement, uses and structure, and trends in the market. Readers can gain an in-depth understanding about PE from academics and practitioners from around the world. Private Equity: Opportunities and Risks provides a fresh look at the intriguing yet complex subject of PE. A group of experts takes readers through the core topics and issues of PE, and also examines the latest trends and cutting-edge developments in the field. The coverage extends from discussing basic concepts and their application to increasingly complex and real-world situations. This new and intriguing examination of PE is essential reading for anyone hoping to gain a better understanding of PE, from seasoned professionals to those aspiring to enter the demanding world of finance.
Author: Jan Schneider Publisher: ISBN: Category : Languages : en Pages : 55
Book Description
Several empirical studies find that illiquid firms have higher expected returns than liquid firms. I argue that this result is a puzzle that has not been resolved yet. The liquidity premium is puzzling since investors can circumvent low liquidity by trading diversified funds of illiquid firms. I develop a model that shows how a combination of cross-sectional differences in liquidity and short sale constraints generates a risk premium for illiquid firms despite the ability of investors to trade illiquid firms in large liquid baskets.
Author: Thomas S. Y. Ho Publisher: Oxford University Press ISBN: 0199923981 Category : Business & Economics Languages : en Pages : 762
Book Description
The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions--the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.
Author: Faruk Balli Publisher: World Scientific ISBN: 9811267510 Category : Business & Economics Languages : en Pages : 1030
Book Description
In recent years, information technologies such as mobile payment, search engines, cloud computing and internet finance have developed rapidly. This has greatly impacted the structure of the financial market, and is set to bring about deep changes to the global financial industry. At the same time, the advent of the digital economy has brought about more challenges to the services and products of internet finance and financial supervision.This book contains the proceedings of the 2nd International Conference on Internet Finance and Digital Economy (ICIFDE 2022), which focus on how existing computer and information technology can be used to solve the problems of financial services in the era of digital economy. The chapters in this volume seek to provide technical solutions to the current digital financial transaction system, data processing in the digital economy and various forms of digital transactions or financing systems. Additionally, traditional research is combined with current cutting-edge technology in proposing new developments for the finance industry.
Author: Reza Bradrania Publisher: ISBN: Category : Languages : en Pages : 43
Book Description
We investigate whether the effect of liquidity on equity returns can be attributed to the liquidity level, as a stock characteristic, or a market wide systematic liquidity risk. We develop a CAPM liquidity-augmented risk model and test the characteristic hypothesis against the systematic risk hypothesis for the liquidity effect. We find that the two-factor systematic risk model explains the liquidity premium, and the null hypothesis that the liquidity characteristic is compensated irrespective of liquidity risk loadings is rejected. This result is robust over 1931-2008 data and sub-samples of pre-1963 and post-1963 data both in the time-series and the cross-sectional analysis.
Author: Iris Claus Publisher: John Wiley & Sons ISBN: 1119565189 Category : Business & Economics Languages : en Pages : 468
Book Description
The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments
Author: Weimin Liu
Author: Weimin Liu
Author: Yakov Amihud
Author: Moorad Choudhry
Author: Harold Kent Baker
Author: Jan Schneider
Author: Yakov Amihud
Author: Thomas S. Y. Ho
Author: Faruk Balli
Author: Reza Bradrania
Author: Iris Claus