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Market liquidity : theory, evidence, and policy /
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. This book offers a more accurate and authoritative take on liquidity and price discovery.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Oxford University Press,
©2013.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000Mi 4500 | ||
|---|---|---|---|
| 001 | EBSCO_ocn860943694 | ||
| 003 | OCoLC | ||
| 005 | 20231017213018.0 | ||
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| 010 | |a 2012030772 | ||
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| 020 | |a 0199324093 |q (electronic bk.) | ||
| 020 | |z 9780199936243 |q (cloth ; |q alk. paper) | ||
| 020 | |z 0199936242 |q (cloth ; |q alk. paper) | ||
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| 082 | 0 | 4 | |a 332.041 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Foucault, Thierry. | |
| 245 | 1 | 0 | |a Market liquidity : |b theory, evidence, and policy / |c Thierry Foucault, Marco Pagano, Ailsa Roell. |
| 260 | |a New York : |b Oxford University Press, |c ©2013. | ||
| 300 | |a 1 online resource (xv, 424 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references and index. | ||
| 520 | 8 | |a 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. This book offers a more accurate and authoritative take on liquidity and price discovery. | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | 0 | |g 0.1 |t What is This Book About? |g 1 -- |g 0.2 |t Why Should We Care? |g 4 -- |g 0.3 |t Some Puzzles |g 5 -- |g 0.4 |t The Three Dimensions of Liquidity |g 8 -- |g 0.4.1 |t Market Liquidity |g 8 -- |g 0.4.2 |t Funding Liquidity |g 9 -- |g 0.4.3 |t Monetary Liquidity |g 10 -- |g Part 1 |t Institutions -- |g 1 |t Trading Mechanics and Market Structure |g 15 -- |g 1.1 |t Introduction |g 15 -- |g 1.2 |t Limit Order Markets and Dealer Markets |g 17 -- |g 1.2.1 |t Limit Order Markets |g 17 -- |g 1.2.2 |t Dealer Markets |g 23 -- |g 1.2.3 |t Hybrid Markets |g 27 -- |g 1.2.4 |t Market Transparency |g 28 -- |g 1.3 |t Does Market Structure Matter? |g 31 -- |g 1.4 |t Evolution of Market Structure |g 32 -- |g 1.4.1 |t Who Makes the Rules? |g 32 -- |g 1.4.2 |t Competition between Exchanges |g 34 -- |g 1.4.3 |t Automation |g 37 -- |g 1.5 |t Further Reading |g 44 -- |g 1.6 |t Exercises |g 44 -- |g 2 |t Measuring Liquidity |g 46 -- |g 2.1 |t Introduction |g 46 -- |g 2.2 |t Measures of the Spread |g 49 -- |g 2.2.1 |t The Quoted Spread |g 49 -- |g 2.2.2 |t The Effective Spread |g 50 -- |g 2.2.3 |t The Realized Spread |g 53 -- |g 2.3 |t Other Measures of Implicit Trading Costs |g 55 -- |g 2.3.1 |t Volume-weighted Average Price |g 55 -- |g 2.3.2 |t Measures Based on Price Impact |g 56 -- |g 2.3.3 |t Non-trading Measures |g 58 -- |g 2.3.4 |t Measures Based on Return Covariance |g 59 -- |g 2.4 |t Implementation Shortfall |g 65 -- |g 2.5 |t Hands-on Estimation of Transaction Costs |g 68 -- |g 2.6 |t Further Reading |g 68 -- |g 2.7 |t Appendix |g 69 -- |g 2.8 |t Exercises |g 72 -- |g 3 |t Order Flow, Liquidity, and Securities Price Dynamics |g 77 -- |g 3.1 |t Introduction |g 77 -- |g 3.2 |t Price Dynamics and the Efficient Market Hypothesis |g 81 -- |g 3.3 |t Price Dynamics with Informative Order Flow |g 84 -- |g 3.3.1 |t The Glosten-Milgrom Model |g 85 -- |g 3.3.2 |t The Determinants of the Bid-Ask Spread |g 87 -- |g 3.3.3 |t How Do Dealers Revise their Quotes? |g 92 -- |g 3.3.4 |t Price Discovery |g 94 -- |g 3.3.5 |t The Implications for Price Movements and Volatility |g 98 -- |g 3.4 |t Price Dynamics with Order-Processing Costs |g 101 -- |g 3.4.1 |t Bid-Ask Spread with Order-Processing Costs |g 101 -- |g 3.4.2 |t Price Dynamics with Order-Processing and Adverse-Selection Costs |g 102 -- |g 3.5 |t Price Dynamics with Inventory Risk |g 106 -- |g 3.5.1 |t A Two-Period Model |g 108 -- |g 3.5.2 |t A Multi-Period Model |g 112 -- |g 3.5.3 |t The dynamics of prices and inventories |g 115 -- |g 3.6 |t The Full Picture |g 120 -- |g 3.7 |t Further Reading |g 122 -- |g 3.8 |t Exercises |g 123 -- |g 4 |t Trade Size and Market Depth |g 132 -- |g 4.1 |t Introduction |g 132 -- |g 4.2 |t Market Depth under Asymmetric Information |g 134 -- |g 4.2.1 |t Learning from Order Size |g 135 -- |g 4.2.2 |t Perfectly Competitive Dealers |g 137 -- |g 4.2.3 |t The Informed Trader's Order Placement Strategy |g 140 -- |g 4.2.4 |t Imperfectly Competitive Dealers |g 144 -- |g 4.3 |t Market Depth with Inventory Risk |g 148 -- |g 4.3.1 |t Perfectly Competitive Dealers |g 148 -- |g 4.3.2 |t Imperfectly Competitive Dealers |g 151 -- |g 4.4 |t Further Reading |g 153 -- |g 4.5 |t Appendix A |g 154 -- |g 4.6 |t Appendix B |g 156 -- |g 4.7 |t Exercises |g 157 -- |g 5 |t Estimating the Determinants of Market Illiquidity |g 163 -- |g 5.1 |t Introduction |g 163 -- |g 5.2 |t Price Impact Regressions |g 165 -- |g 5.2.1 |t Without Inventory Costs |g 166 -- |g 5.2.2 |t With Inventory Costs |g 170 -- |g 5.3 |t Measuring the Permanent Impact of Trades |g 176 -- |g 5.4 |t Probability of Informed Trading (PIN) |g 179 -- |g 5.5 |t Further Reading |g 184 -- |g 5.6 |t Exercises |g 184 -- |g Part 2 |t Market Design and Regulation -- |g 6 |t Limit Order Book Markets |g 191 -- |g 6.1 |t Introduction |g 191 -- |g 6.2 |t A Model of the Limit Order Book (LOB) |g 193 -- |g 6.2.1 |t The Market Environment |g 193 -- |g 6.2.2 |t Execution Probability and Order Submission Cost |g 196 -- |g 6.2.3 |t Limit Order Trading with Informed Investors |g 198 -- |g 6.3 |t The Design of Limit Order Book Markets |g 204 -- |g 6.3.1 |t Tick Size |g 204 -- |g 6.3.2 |t Priority Rules |g 207 -- |g 6.3.3 |t Hybrid LOB Markets |g 209 -- |g 6.4 |t The Make or Take Decision in LOB Markets |g 213 -- |g 6.4.1 |t Risk of Being Picked Off and Risk of Non-Execution |g 214 -- |g 6.4.2 |t Bid-Ask Spreads and Execution Risk |g 217 -- |g 6.4.3 |t Bid-Ask Spreads and Volatility |g 220 -- |g 6.4.4 |t Indexed Limit Orders, Monitoring, and Algorithmic Trading |g 223 -- |g 6.4.5 |t Order Flow and the State of the LOB |g 225 -- |g 6.5 |t Further Reading |g 230 -- |g 6.6 |t Appendix |g 232 -- |g 6.7 |t Exercises |g 232 -- |g 7 |t Market Fragmentation |g 236 -- |g 7.1 |t Introduction |g 236 -- |g 7.2 |t The Costs of Fragmentation |g 241 -- |g 7.2.1 |t Information Effects |g 242 -- |g 7.2.2 |t Risk-sharing Effects |g 246 -- |g 7.2.3 |t Competition among Liquidity Suppliers |g 248 -- |g 7.2.4 |t Fragmentation and the Broker-Client Relationship |g 251 -- |g 7.3 |t Liquidity Externalities |g 253 -- |g 7.3.1 |t Liquidity Begets Liquidity |g 254 -- |g 7.3.2 |t Low-liquidity Traps |g 256 -- |g 7.4 |t The Benefits of Fragmentation |g 256 -- |g 7.4.1 |t Curbing the Pricing Power of Exchanges |g 256 -- |g 7.4.2 |t Sharper Competition among Liquidity Providers |g 259 -- |g 7.4.3 |t Trade-throughs |g 265 -- |g 7.5 |t Regulation |g 268 -- |g 7.5.1 |t Regulation NMS |g 268 -- |g 7.5.2 |t MiFID |g 271 -- |g 7.6 |t Further Reading |g 275 -- |g 7.7 |t Exercises |g 275 -- |g 8 |t Market Transparency |g 278 -- |g 8.1 |t Pre-trade Transparency |g 279 -- |g 8.1.1 |t Quote Transparency and Competition between Dealers |g 280 -- |g 8.1.2 |t Quote Transparency and Execution Risk |g 282 -- |g 8.1.3 |t Order Flow Transparency |g 284 -- |g 8.2 |t Post-trade Transparency |g 287 -- |g 8.3 |t Revealing Trading Motives |g 292 -- |g 8.4 |t Why are Markets so Opaque? |g 296 -- |g 8.4.1 |t Rent Extraction and Lobbying |g 297 -- |g 8.4.2 |t Opacity can Withstand Competition |g 298 -- |g 8.4.3 |t The Bright Side of Opacity |g 299 -- |g 8.5 |t Further Reading |g 301 -- |g 8.6 |t Exercises |g 303 -- |g Part 3 |t Implications for Asset Prices, Financial Crises, and Corporate Policies -- |g 9 |t Liquidity and Asset Prices |g 307 -- |g 9.1 |t Introduction |g 307 -- |g 9.2 |t Illiquidity and Asset Prices |g 308 -- |g 9.2.1 |t The Illiquidity Premium |g 308 -- |g 9.2.2 |t Clientele Effects |g 313 -- |g 9.2.3 |t Evidence |g 314 -- |g 9.2.4 |t Asymmetric Information, Illiquidity, and Asset Returns |g 318 -- |g 9.2.5 |t Illiquidity Premia in OTC Markets |g 320 -- |g 9.3 |t Liquidity Risk and Asset Prices |g 322 -- |g 9.4 |t Liquidity and Limits to Arbitrage |g 325 -- |g 9.4.1 |t Risk of Early Liquidation as a Limit to Arbitrage |g 328 -- |g 9.4.2 |t Limited Speculative Capital as a Barrier to Arbitrage |g 331 -- |g 9.4.3 |t Implications for Market Making and Liquidity Crises |g 336 -- |g 9.5 |t Correlated Order Flow and Noise Trader Risk |g 339 -- |g 9.6 |t Further Reading |g 341 -- |g 9.7 |t Appendix The Derivation of the Search Model |g 343 -- |g 9.8 |t Exercises |g 347 -- |g 10 |t Liquidity, Price Discovery, and Corporate Policies |g 350 -- |g 10.1 |t Introduction |g 350 -- |g 10.2 |t Market Liquidity and Corporate Investment |g 351 -- |g 10.3 |t Market Liquidity and Corporate Governance |g 354 -- |g 10.4 |t Price Discovery, Corporate Investment, and Executive Compensation |g 360 -- |g 10.4.1 |t Stock Prices and Investment Allocation |g 361 -- |g 10.4.2 |t Stock Prices and Executive Compensation |g 368 -- |g 10.5 |t Corporate Policies and Market Liquidity |g 372 -- |g 10.5.1 |t Listing and Cross-listing |g 373 -- |g 10.5.2 |t Designated Market Makers |g 375 -- |g 10.5.3 |t Disclosure Policy |g 376 -- |g 10.5.4 |t Capital Structure |g 380 -- |g 10.6 |t Further Reading |g 382 -- |g 10.7 |t Exercises |g 386. |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Liquidity (Economics) | |
| 650 | 0 | |a Securities. | |
| 650 | 0 | |a Capital market. | |
| 650 | 6 | |a Liquidité (Économie politique) | |
| 650 | 6 | |a Marché financier. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Capital market. |2 fast |0 (OCoLC)fst00846356 | |
| 650 | 7 | |a Liquidity (Economics) |2 fast |0 (OCoLC)fst00999682 | |
| 650 | 7 | |a Securities. |2 fast |0 (OCoLC)fst01110743 | |
| 650 | 7 | |a Kapitalmarkt |2 gnd | |
| 650 | 7 | |a Liquidität |2 gnd | |
| 650 | 7 | |a Wertpapier |2 gnd | |
| 700 | 1 | |a Pagano, Marco. | |
| 700 | 1 | |a Röell, Ailsa, |d 1955- | |
| 776 | 0 | 8 | |i Print version: |a Foucault, Thierry. |t Market liquidity. |d Oxford ; New York : Oxford University Press, ©2013 |z 9780199936243 |w (DLC) 2012030772 |w (OCoLC)804145712 |
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