Market Liquidity : Asset Pricing, Risk, and Crises

Cover -- MARKET LIQUIDITY -- Title -- Copyright -- Contents -- Acknowledgments -- Introduction and Overview of the Book -- PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS -- Introduction and Overview -- CHAPTER 1 Asset Pricing and the Bid-Ask Spread -- Summary and Implications -- Asset Pricing and the Bid-Ask Spread* -- 1. Introduction -- 2. A Model of the Return-Spread Relation -- 3. Empirical Tests -- 3.1. The Data and the Derivation of the Variables -- 3.2. Test Methodology -- 3.3. The Results -- 4. Firm Size, Spread and Return -- 5. Conclusion -- References -- CHAPTER 2 Liquidity, Maturity, and the Yields on U.S. Treasury Securities -- Summary and Implications -- Liquidity, Maturity, and the Yields on U.S. Treasury Securities -- I. Liquidity and the U.S. Government Securities Market -- II. Empirical Tests -- A. The Data -- B. The Liquidity Effect -- C. Maturity Effects -- III. Arbitrage Opportunities -- IV. Concluding Remarks -- References -- CHAPTER 3 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange -- Summary and Implications -- Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange -- 1. Introduction -- 2. Trading Mechanisms on the Tel Aviv Stock Exchange -- 2.1. The Call Method -- 2.2. The Variable Price Method -- 2.3. Transfer Procedure -- 3. Methodology and Empirical Results -- 3.1. The Data -- 3.2. Cumulative Abnormal Returns -- 3.3. Liquidity Externalities -- 3.4. Liquidity, Efficiency and the Trading Mechanism -- 3.4.1. Liquidity -- 3.4.2. Efficiency -- 3.4.3. The Interaction of Liquidity and Efficiency Improvements -- 4. Conclusions -- References -- PART II: LIQUIDITY RISK -- Introduction and Overview -- CHAPTER 4 Illiquidity and Stock Returns:Cross-Section and Time-Series Effects -- Summary and Implications.