EDHEC-Risk - Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing

Performance


	Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing Authors: Editors: François-Serge Lhabitant, Greg N. Gregoriou Editions: Wiley Pages: 475 pages Date: February 2008 Purchase this book

Summary

Market liquidity plays an important role in financial markets, affecting not only pricing, but also market anomalies. "Stock Market Liquidity" brings together the best financial minds in the world to discuss the issue fully. The various contributors to this comprehensive collection study liquidity along many different lines and answer important questions on international exchanges, market design, and impact on asset prices. "Stock Market Liquidity" is an informative and insightful look into this area.

The book examines:

Liquidity Across Markets and Exchanges
Market Design, Corporate Events and Liquidity
Asset Pricing, Liquidity Risk, Merger Arbitrage, and Valuation

About the Authors:

François-Serge Lhabitant, PhD, is the Chief Investment Officer at Kedge Capital. He was formerly a member of senior management at Union Bancaire Privée in Geneva, where he was in charge of quantitative risk management and, subsequently, of the quantitative research for alternative portfolios. Lhabitant is currently a Professor of Finance at the University of Lausanne (Switzerland) and at EDHEC Business School (France). He is also the coeditor or author of several Wiley titles, including "Commodity Trading Advisors", "Hedge Funds: Quantitative Insights", "Handbook of Hedge Funds", and "Hedge Funds: Myths and Limits".

Greg N. Gregoriou, PhD, is Professor of Finance in the School of Business and Economics at the State University of New York at Plattsburgh. He is a hedge fund editor for the peer-reviewed scientific publication Journal of Derivatives & Hedge Funds (London) and an editorial board member for the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. Gregoriou has authored over fifty articles on hedge funds and managed futures in various peer-reviewed publications, and is coeditor or coauthor of several Wiley titles, including "Commodity Trading Advisors", "Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation", and "Evaluating Hedge Fund and CTA Performance". Greg N. Gregoriou has since become a Research Associate with EDHEC-Risk Institute.