Estimating Endogenous Liquidity Using Transaction and Order Book Information

Philippe Durand, Yalin Gündüz and Isabelle Thomazeau

Chapter 8 in Advances in Financial Risk Management, 2013, pp 181-200 from Palgrave Macmillan

Abstract: Abstract The liquidity of instruments has been a key area of financial research on its own within the past decades, where theoretical and empirical studies have shown statistically significant effects of liquidity on asset prices. Recent research has treated the impacts of liquidity as fundamental and incorporated liquidity-adjusted modifications into the original Capital Asset Pricing Model (CAPM) framework (Acharya and Pedersen, 2005). There is also a vast literature on the implications of liquidation risk (Huang, 2003; Duffie, Garleanu and Pedersen, 2007; Longstaff, 2009). An important review of the literature on liquidity and asset prices can be found in Amihud, Mendelson and Pedersen (2005).

Keywords: Asset Price; Credit Default Swap; International Financial Reporting Standard; Capital Asset Price Model; Order Book (search for similar items in EconPapers)
Date: 2013
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Working Paper: Estimating endogenous liquidity using transaction and order book information (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-02509-8_8

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DOI: 10.1057/9781137025098_8

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