We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing four alternative measures of liquidity we first find strong evidence of commonality in liquidity across stocks. We apply asymptotic principal component analysis (PCA) on the...

Using tick data covering a 12 year period including much of the recent financial crisis we provide an unprecedented examination of the relationship between liquidity and stock returns in the UK market. Previous research on liquidity using high frequency data omits the recent financial crisis and...

"The aim of this book is to present a clear exposition of key results on pricing, hedging and speculation using derivative securities. The emphasis is on drawing out the practical uses of derivatives. The reader needs only to have undertaken an introductory course in finance, together with some...

Cover -- Title Page -- Copyright -- Contents -- About the Authors -- About the Companion Site -- Preface -- Chapter 1 Derivative Securities -- 1.1 Forwards and Futures -- 1.1.1 Market Classification -- 1.2 Options -- 1.2.1 Call Options -- 1.2.2 Long Call: Speculation -- 1.2.3 Closing Out --...