This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for traders,...

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...