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Full Description
Liquidity and Asset Pricing: Risk, Crises and Policy is a research book which gives insights on the role of liquidity in asset pricing models. The risk premium expected for market liquidity risk has been extensively covered in the book. The market conditions influence liquidity and its role in asset pricing. The book puts emphasis on measuring liquidity premium factor and integrating it with asset pricing models and also empirically examines the improvement in outcomes of the asset pricing models in better explaining the equity premium with augmented liquidity factor models. The study further tests the role of liquidity in asset pricing under various market conditions like economic policy uncertainty, financial stress, equity market crisis, etc. The policy implications and corporate sector recommendations make this book relevant not only to researchers but also to industry practitioners including financial market regulators, stock exchanges and corporates, traders and portfolio managers.
