Market Liquidity : Theory, Evidence, and Policy.

Cover -- Contents -- Preface -- Introduction -- 0.1 What is This Book About? -- 0.2 Why Should We Care? -- 0.3 Some Puzzles -- 0.4 The Three Dimensions of Liquidity -- 0.4.1 Market Liquidity -- 0.4.2 Funding Liquidity -- 0.4.3 Monetary Liquidity -- PART ONE: Institutions -- 1 Trading Mechanics and Market Structure -- 1.1 Introduction -- 1.2 Limit Order Markets and Dealer Markets -- 1.3 Does Market Structure Matter? -- 1.4 Evolution of Market Structure -- 1.5 Further Reading -- 1.6 Exercises -- 2 Measuring Liquidity -- 2.1 Introduction -- 2.2 Measures of the Spread -- 2.3 Other Measures of Implicit Trading Costs -- 2.4 Implementation Shortfall -- 2.5 Hands-on Estimation of Transaction Costs -- 2.6 Further Reading -- 2.7 Appendix -- 2.8 Exercises -- 3 Order Flow, Liquidity, and Securities Price Dynamics -- 3.1 Introduction -- 3.2 Price Dynamics and the Efficient Market Hypothesis -- 3.3 Price Dynamics with Informative Order Flow -- 3.4 Price Dynamics with Order-Processing Costs -- 3.5 Price Dynamics with Inventory Risk -- 3.6 The Full Picture -- 3.7 Further Reading -- 3.8 Exercises -- 4 Trade Size and Market Depth -- 4.1 Introduction -- 4.2 Market Depth under Asymmetric Information -- 4.3 Market Depth with Inventory Risk -- 4.4 Further Reading -- 4.5 Appendix A -- 4.6 Appendix B -- 4.7 Exercises -- 5 Estimating the Determinants of Market Illiquidity -- 5.1 Introduction -- 5.2 Price Impact Regressions -- 5.3 Measuring the Permanent Impact of Trades -- 5.4 Probability of Informed Trading (PIN) -- 5.5 Further Reading -- 5.6 Exercises -- PART TWO: Market Design and Regulation -- 6 Limit Order Book Markets -- 6.1 Introduction -- 6.2 A Model of the Limit Order Book (LOB) -- 6.3 The Design of Limit Order Book Markets -- 6.4 The Make or Take Decision in LOB Markets -- 6.5 Further Reading -- 6.6 Appendix -- 6.7 Exercises -- 7 Market Fragmentation.

7.1 Introduction -- 7.2 The Costs of Fragmentation -- 7.3 Liquidity Externalities -- 7.4 The Benefits of Fragmentation -- 7.5 Regulation -- 7.6 Further Reading -- 7.7 Exercises -- 8 Market Transparency -- 8.1 Pre-trade Transparency -- 8.2 Post-trade Transparency -- 8.3 Revealing Trading Motives -- 8.4 Why are Markets so Opaque? -- 8.5 Further Reading -- 8.6 Exercises -- PART THREE: Implications for Asset Prices, Financial Crises, and Corporate Policies -- 9 Liquidity and Asset Prices -- 9.1 Introduction -- 9.2 Illiquidity and Asset Prices -- 9.3 Liquidity Risk and Asset Prices -- 9.4 Liquidity and Limits to Arbitrage -- 9.5 Correlated Order Flow and Noise Trader Risk -- 9.6 Further Reading -- 9.7 Appendix. The Derivation of the Search Model -- 9.8 Exercises -- 10 Liquidity, Price Discovery, and Corporate Policies -- 10.1 Introduction -- 10.2 Market Liquidity and Corporate Investment -- 10.3 Market Liquidity and Corporate Governance -- 10.4 Price Discovery, Corporate Investment, and Executive Compensation -- 10.5 Corporate Policies and Market Liquidity -- 10.6 Further Reading -- 10.7 Exercises -- References -- Author Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- R -- S -- T -- V -- W -- X -- Y -- Z -- Subject Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- U -- V -- W.

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.