Liquidity and Asset Prices

By Y. Amihud, Haim Mendelson, Lasse Heje Pedersen. 2005

834 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/65ce5891f6e57abd5b5760f425bcafa2f92d4cda

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Citations in the corpus

Transparency and Liquidity Uncertainty in Crisis Periods (2011, background): “First is the literature on transparency and the level of liquidity, surveyed in Amihud et al. (2005) and Lang and Maffett (2011), which investigates the role of transparency in mitigating information asymmetry.”
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “This literature, focusing mainly on equity markets, is surveyed by Amihud, Mendelson, and Pedersen (2006).”
Stock splits, trading continuity, and the cost of equity capital☆ (2009, background): “Harris (1996) and Angel (1997) suggest that another clientele that could be attracted by a stock split might be traders, who find it profitable to supply liquidity via limit orders due to split-induced increases in (proportional) tick size. Using NYSE non-public data, Lipson (1999) indeed shows that”
Liquidity and the Threat of Fraudulent Assets (2011, background): “[8] Du¢ e, Darrell, Nicolae Garleanu and Lasse Heje Pedersen (2005).”
Green Bond Finance and Certification (2017, background): “BIS Quarterly Review, September 2017 97 influence bond yield spreads, such as specific demand and supply factors (eg CollinDufresne et al (2001), Greenwood and Vayanos (2014)) or liquidity premia (eg Longstaff (2004), Amihud et al (2006)).”
Bank/Sovereign Risk Spillovers in the European Debt Crisis (2012, result): “This relates to studies such as Kiyotaki and Moore (2005) and Kaminsky, Reinhart, and Vegh (2003), who describe how negative shocks in one market can directly a¤ect collateral values or cash ows associated with securities in other markets.”
Markets : Transparency and the Corporate Bond Market (2008, background): “transaction prices (High Yield Report, 2005). An electronic limit order market in corporate bonds was introduced by MarketAxess in early 2002. Corporate bond trading volume on MarketAxess during the first quarter of 2002, before the advent of TRACE, was $7 billion. Volume grew to $20 billion by the ”
Private Equity Performance and Liquidity Risk (2012, neutral): “Amihud, Mendelson, and Pedersen (2005) provide a simple explanation.”
Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading (2009, background): “Similar to any other Euler—equation, if (4) holds, the optimizing agent is indifferent to investing a unit today or saving it for later.”