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He is the author of several books, including Whatever Happened To Monetarism?

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He has just finished co-editing a book with Derek Aldcroft entitled Economic Disaster of the Twentieth Century , which is being published by Edward Elgar in Request permission to reuse content from this site. Undetected location.

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Chester S. Spatt

E-Book Rental Days. View on Wiley Online Library. This is a dummy description. Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets. Few, if any, of the providers or recipients of such advice can truly claim to understand the well—springs of such liquidity and the transmission mechanisms through which it impacts asset prices.

About the Author Gordon Pepper has the unusual combination of an economics degree from Cambridge and actuarial training. Immediately after he finished taking examinations, he became a dealer on the Floor of the London Stock Exchange. This across-asset-class evidence complements the within-asset-class evidence on Betting Against Beta. A macro model with financial frictions: how central bank lending facilities can ease credit frictions — with strong empirical evidence from the recent crisis.

How Sovereign is Sovereign Credit Risk? Longstaff, Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton , American Economic Journal: Macroeconomics 3 2 , 75— Sovereign CDS can be explained by, and predicted by, U.

The liquidity theory of asset prices

Featured in the Economic Times. Understanding the global liquidity crisis and the quant event. Evidence on the driving mechanisms.

A solicited commentary. Pedersen , The Review of Financial Studies 22, Market liquidity and the funding conditions are mutually reinforcing, giving rise to liquidity spirals, fragility, flight to quality, and systemic risk. How end user demand affects option pricing when dealers cannot perfectly hedge. New theory and unique data. How the carry trade is subject to crash risk during funding liquidity crises. Results help resolve the forward premium puzzle. Featured in Forbes. Empirical evidence: when arbitrageurs lose capital and new capital arrives slowly, prices become depressed and later rebound.


Tighter risk management can lead to illiquidity and lower prices. A multiplier effects arises when illiquidity tightens risk management. Pedersen , The Review of Financial Studies 20, The effect of search and bargaining on asset prices and the dynamics of aggregate liquidity shocks.

A survey of the literature. How unpredictable changes in liquidity affect security returns; a liquidity-adjusted CAPM and empirical evidence. Predatory Trading, Markus K. When a large trader liquidates, predators also sell, leading to price over-shooting and systemic risk. I general search model for financial markets. Marketmakers ' bid-ask spread is narrower for sophisticated investors with better search options NB: reverse of information-based models. Bid-ask spreads due to asymmetric information affect required returns differently than exogenous trading costs - paper shows explicitly how.

A model of credit risk accounting for both default and restructuring. The study of Russian debt develops a new estimation methodology. Short sellers search for stock owners and pay a lending fee. The lending fee increases the stock's price.

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M arket liquidity risk affects asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy. More and more investors become passive - why?

Will markets become more inefficient at the macro or micro levels? What is the best passive index? Get answers. What really happens when stocks get deeply cheap or expensive? What drives the value effect - risk, anti bubbles, or noise? We provide answers and a cool strategy. Securities that embed leverage alleviate leverage constraints and therefore have lower required returns. Evidence from options and leveraged ETFs.

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