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Stock and Bond Liquidity and its Effect on Prices and Financial Policies

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  • Yakov Amihud
  • Haim Mendelson

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  • Yakov Amihud & Haim Mendelson, 2006. "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 19-32, April.
    • Handle: RePEc:kap:fmktpm:v:20:y:2006:i:1:p:19-32
    DOI: 10.1007/s11408-006-0001-y
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    References listed on IDEAS

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    5. Loderer, Claudio & Roth, Lukas, 2005. "The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 239-268, March.
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    7. Kamara, Avraham, 1994. "Liquidity, Taxes, and Short-Term Treasury Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 403-417, September.
    8. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
    9. Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, vol. 62(1), pages 119-149, February.
    10. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
    11. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    12. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
    13. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
    14. Amihud, Yakov & Lauterbach, Beni & Mendelson, Haim, 2003. "The Value of Trading Consolidation: Evidence from the Exercise of Warrants," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 829-846, December.
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    Cited by:

    1. Marlene Kionka & Martin Odening & Jana Plogmann & Matthias Ritter, 2021. "Measuring liquidity in agricultural land markets," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 82(4), pages 690-713, September.
    2. Radygin, Alexander (Радыгин, Александр) & Akshentceva, Kseniia (Акшенцева, Ксения) & Chernovа, Maria (Чернова, Мария) & Abramov, Alexander (Абрамов, Александр), 2017. "Factors Affecting the Liquidity of Corporate Bonds [Факторы, Влияющие На Ликвидность Корпоративных Облигаций]," Working Papers 041706, Russian Presidential Academy of National Economy and Public Administration.
    3. Azwar Abdulsalam & Gowri Jayprakash & Abhijeet Chandra, 2020. "On the Pricing of Currency Options under Variance Gamma Process," Papers 2009.14113, arXiv.org.
    4. Stange, Sebastian & Kaserer, Christoph, 2008. "The impact of order size on stock liquidity: a representative study," CEFS Working Paper Series 2008-09, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    5. Tripathi, Abhinava & Dixit, Alok & Vipul,, 2021. "Liquidity commonality in extreme quantiles: Indian evidence," Finance Research Letters, Elsevier, vol. 38(C).
    6. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
    7. Huang, Tzu-Lun, 2018. "The puzzling media effect in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 129-146.
    8. Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2019. "Over-the-Counter Market Liquidity and Securities Lending," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 272-294, July.
    9. Steve Janner & Daniel Schmidt, 2015. "Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 271-298, August.
    10. Elroi Hadad & Haim Kedar-Levy, 2022. "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers 2208.01538, arXiv.org.
    11. Matthias Bank & Martin Larch & Georg Peter, 2011. "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 239-264, September.
    12. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 209-242, September.
    13. Latoeiro, Pedro & Ramos, Sofía B. & Veiga, Helena, 2013. "Predictability of stock market activity using Google search queries," DES - Working Papers. Statistics and Econometrics. WS ws130605, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. Christian Klein & Christoph Stellner, 2014. "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 29-61, February.
    15. Márcio André Veras Machado & Márcia Reis Machado, 2014. "Liquidity and asset pricing:evidence from the Brazilian market," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 69-89, January.
    16. Nor Elliany Hawa Ibrahim & Kamarun Nisham Taufil Mohd & Karren Lee-Hwei Khaw, 2019. "Effect of Standardization of Trading Board Lot on Abnormal Liquidity in Malaysian Stock Market," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 89-102.
    17. Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2012. "Does the liquidity effect exist in the brazilian stock market?," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 27-50, October.
    18. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
    19. Hadad, Elroi & Kedar-Levy, Haim, 2024. "The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1303-1313.
    20. Haowen Tian & Gaoliang Tian, 2022. "Corporate sustainability and trade credit financing: Evidence from environmental, social, and governance ratings," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(5), pages 1896-1908, September.
    21. Michael Chlistalla & Marco Lutat, 2011. "Competition in securities markets: the impact on liquidity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 149-172, June.
    22. Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero, 2012. "External imbalances and financial fragility in the euro area," Mo.Fi.R. Working Papers 66, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    23. Juan Pi??eiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.
    24. Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Presbitero, 2014. "External Imbalances and Fiscal Fragility in the Euro Area," Open Economies Review, Springer, vol. 25(1), pages 3-34, February.
    25. Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan, 2014. "Liquidity effects in corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 105-116.

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    More about this item

    Keywords

    Market efficiency; Liquidity risk premia; Asset prices; G12; G14;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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