scientific article; zbMATH DE number 5130804

MaRDI QIDQ3424864zbMATH OpenFDO

Authors Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen

Publication date 5 March 2007

zbMATH Keywords

asset pricingliquidityliquidity riskmarket microstructure modelsprivate information

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(15)

• Portfolio choice and pricing in illiquid markets
• High frequency market microstructure noise estimates and liquidity measures
• Illiquidity premium and expected stock returns in the UK: a new approach
• Liquidity shocks and equilibrium liquidity premia.
• Bayesian statistical inference for European options with stock liquidity
• The liquidity discount.
• Market liquidity. Asset pricing, risk, and crises
• Learning by Holding and Liquidity
• Convertible bonds and stock liquidity
• The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds *
• Two price economies in continuous time
• MARKET FORCES AND DYNAMIC ASSET PRICING
• Asset pricing with general transaction costs: Theory and numerics
• The implied liquidity premium for equities
• The liquidity uncertainty premium puzzle

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