Liquidity and asset pricing: a (partial) survey
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Date: 03-20-2006
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Yacov Amihud, New York University
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
There is a growing body of research showing that liquidity is priced, both as a characteristic of an asset and as a measure of risk. It affects pricing both across assets and over time. The lecture will survey theory and evidence that suggests that assets should be priced to reflect compensation required by investors for asset illiquidity, controlling for asset risk.
BIO
Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. His research focuses on the effects of the liquidity of stocks and other securities on their returns and values, and the design and evaluation of securities markets’ trading methods, systems and performance. On these topics, Amihud has published a number of research articles and has advised the NYSE, AMEX, CBOE, CBOT and other securities markets. His research also includes the evaluation of corporate financial policies, dividend policy, mergers and acquisitions, initial public offerings, objectives of corporate managers, and law and finance. He has published research articles in professional journals and in books, and edited and co-edited five books.