Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Illiquidity Premium Transaction Costs And Risks Of Illiquid Assets
Download Illiquidity Premium Transaction Costs And Risks Of Illiquid Assets full books in PDF, epub, and Kindle. Read online Illiquidity Premium Transaction Costs And Risks Of Illiquid Assets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Illiquidity Premium, Transaction Costs, and Risks of Illiquid Assets by : Ben Meng
Download or read book Illiquidity Premium, Transaction Costs, and Risks of Illiquid Assets written by Ben Meng and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of illiquidity premium for infrequently traded asset classes, such as real estate and private equity, presents a challenge to the industry because of opaque information and sporadic trading activities. We propose to use autocorrelations of return series as a tool to estimate the transaction costs and illiquidity premium of private assets. This tool can also be used to adjust the risk of illiquid asset classes so that private and illiquid assets can be reasonably compared with public and liquid assets. We also show that this metric could have implications for understanding the delay between transaction decision and transaction execution, known to market participants as time-on-market.
Book Synopsis Mastering Illiquidity by : Thomas Meyer
Download or read book Mastering Illiquidity written by Thomas Meyer and published by John Wiley & Sons. This book was released on 2013-04-18 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arms investors with powerful new tools for measuring and managing the risks associated with the various illiquid asset classes With risk-free interest rates and risk premiums at record lows, many investors are turning to illiquid assets, such as real estate, private equity, infrastructure and timber, in search of superior returns and greater portfolio diversity. But as many analysts, investors and wealth managers are discovering, such investments bring with them a unique set of risks that cannot be measured by standard asset allocation models. Written by a dream team of globally renowned experts in the field, this book provides a clear, accessible overview of illiquid fund investments, focusing on what the main risks of these asset classes are and how to measure those risks in today's regulatory environment. Provides solutions for institutional investors in need of guidance in today's regulatory environment Offers detailed descriptions of risk measurement in illiquid asset classes, illustrated with real life case studies Helps you to develop reliable risk management tools while complying with the regulations designed to contain the individual and systemic risks arising from illiquid investments Features real-life case studies that capture an array of risk management scenarios you are likely to encounter
Book Synopsis Liquidity and Asset Prices by : Yakov Amihud
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Book Synopsis Investment Decisions on Illiquid Assets by : Jaroslaw Morawski
Download or read book Investment Decisions on Illiquid Assets written by Jaroslaw Morawski and published by Springer Science & Business Media. This book was released on 2009-02-14 with total page 467 pages. Available in PDF, EPUB and Kindle. Book excerpt: Jaroslaw Morawski offers a practicable and theoretically well-founded solution to the problems encountered when investing in illiquid assets and develops a model of the liquidation process for this category of investments. The result is a coherent investment decision framework designed specifically for private real estate but applicable also to other illiquid assets.
Book Synopsis Pricing Illiquid Assets by : John Robert Krainer
Download or read book Pricing Illiquid Assets written by John Robert Krainer and published by . This book was released on 1997 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs by : Jean-Luc Vila
Download or read book Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs written by Jean-Luc Vila and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the impact of transactions costs on the rates of return on liquid and illiquid assets using a continuous-time model of an overlapping generations economy. Agents in this economy start with no financial wealth and receive a stream of labor income over their lifetimes. They can invest in two long-term assets which pay a constant stream of dividends. The first asset is liquid and traded without costs, while the second asset is illiquid and its trading is subject to proportional costs. Agents buy and sell these assets for lifecycle motives In fact, they buy the higher yielding illiquid asset for long-term investment and the lower yielding liquid asset for short-term investment. We find that when transactions costs increase, the rate of return on the liquid asset decreases, while the rate of return on the illiquid asset may increase or decrease. We also find that if the fraction of the illiquid asset in the economy is higher, the liquidity premium is higher and the effect of transactions costs on the rate of return on the liquid asset is stronger.
Book Synopsis Equilibrium Interest Rate and Liquidity Premium with Transaction Costs by : Jean-Luc Vila
Download or read book Equilibrium Interest Rate and Liquidity Premium with Transaction Costs written by Jean-Luc Vila and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. We show that agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs increase, the price of the liquid asset increases. The price of the illiquid asset decreases if the asset is in small supply, but may increase if the supply is large. These results have implications for the effects of transaction taxes and commission deregulation.
Book Synopsis Illiquid Asset Investing by : Andrew Ang
Download or read book Illiquid Asset Investing written by Andrew Ang and published by . This book was released on 2013 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio choice models incorporating illiquidity risk recommend only modest holdings of illiquid assets. Investors should demand high risk premiums for investing in illiquid assets.
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2013 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Book Synopsis Portfolio Choice with Illiquid Assets by : Miklós Koren
Download or read book Portfolio Choice with Illiquid Assets written by Miklós Koren and published by . This book was released on 2003 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Does 'Illiquidity' Rather than 'Risk Aversion' Explain the Equity Premium Puzzle? by : Peter L. Swan
Download or read book Does 'Illiquidity' Rather than 'Risk Aversion' Explain the Equity Premium Puzzle? written by Peter L. Swan and published by . This book was released on 2008 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yes. I aim to establish empirically that the quot;equity premiumquot; puzzle, with its 6% excess return per annum over Treasury bills for the last 100 years on the NYSE, can be explained once the value of endogenous stock market trading is incorporated into investor preferences. Within my framework, investors enjoy trading. According to my model, the quot;investor surplusquot; from trading liquid Treasury bills relative to illiquid equity is exactly compensated for by the expected equity premium. Observed transaction cost and liquidity differentials between equity and bills are consistent with the premium. Extensive tests are carried out on Australian and US NYSE data for 1955-98. The puzzle concerning the volatility of the stochastic discount factor also appears to be explained by trading behavior, which is of comparable volatility. Reasonably accurate estimates of transactions costs are extracted just from daily dividend yields and turnover. Transaction costs would need to be 400% higher to explain the premium by the quot;amortized spreadquot;, together with exogenous trading and habit formation. An ability to create unlimited wealth, implicit in some existing models, no longer applies. Additionally, the model explains the further 15-20% pa discount on illiquid quot;letterquot; stock.
Book Synopsis The Liquidity Component of the Equity Premium by : André Levy
Download or read book The Liquidity Component of the Equity Premium written by André Levy and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Adding a motivation for trading due to endowment differences to standard asset pricing assumptions, we investigate the impact of illiquidity due to small numbers of participants. We calibrate to observed activity levels, returns, transaction costs and volatility in equity markets. We show that, while the price of an illiquid asset is itself unaffected by its illiquidity, with the introduction of an equivalent liquid asset, which trades at a premium, we nonetheless replicate the findings of Mehra and Prescott (1985). The required transactional charges are modest in some calibrations. We show that the major part of the equity premium can be explained as a liquidity premium.
Book Synopsis Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs (Classic Reprint) by : Dimitri Vayanos
Download or read book Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs (Classic Reprint) written by Dimitri Vayanos and published by . This book was released on 2015-08-05 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs In this paper we analyze the impact of transactions costs on the rates of return on liquid and illiquid assets. We consider an infinite horizon economy with finitely lived agents along the lines of Blanchard(1985). In this economy agents face a constant probability of death, and the population is kept constant by an inflow of new arrivals. Agents start with no financial wealth and receive a decreasing stream of labor income over their lifetimes. In addition they can invest in long term assets which pay a constant stream of dividends. There are two such assets, the liquid asset and the illiquid asset. The liquid asset is traded without transaction costs, while trading the illiquid asset entails proportional transactions costs. Neither asset can be sold short. Agents buy and sell assets for lifecycle motives. In fact, they accumulate the higher yielding illiquid asset for long term investment purposes and the liquid asset for short term investment needs. We find that when transactions costs increase, the rate of return on the liquid asset decreases, while the rate of return on the illiquid asset may increase or decrease. We also find, quite naturally, that the liquidity premium increases. The effects of transactions costs on the rate of return on the liquid asset and on the liquidity premium, are stronger the higher the fraction of the illiquid assets in the economy. Finally, transactions costs have first order effects on asset returns and on the liquidity premium. We evaluate these effects for reasonable parameter values. Acknowledgments: We would like to thank participants in the Nber Conference on Asset Pricing in Philadelphia; participants at seminars at Mtt, New York University and Wharton; Drew Fudenberg, Mark Gertler, John Heaton and Jean Tirole for helpful comments and suggestions. We also wish to acknowledge financial support from the International Financial Services Research Center at the Sloan School of Management. Errors are ours. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Book Synopsis Liquidity Shocks and Equilibrium Liquidity Premia by : Ming Huang
Download or read book Liquidity Shocks and Equilibrium Liquidity Premia written by Ming Huang and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of transaction costs on portfolio selection and equilibrium asset returns in an economy in which investors who face surprise liquidity shocks invest in liquid and illiquid riskless assets. We find that the portfolio policy and the equilibrium liquidity premium of investors who are well prepared for a liquidity shock are not, for small transaction costs, significantly different from those of investors with a fixed investment horizon. Investors who face constraints on borrowing against future income and have reserved little wealth against liquidity shocks, however, act as if they have a short investment horizon. The equilibrium liquidity premium for such investors can be significantly higher than that demanded by investors with a fixed investment horizon that is equal to the expected arrival time of a liquidity shock. This difference is due to the higher net return of the liquid asset, relative to that of the illiquid asset, in the case of an early liquidity shock (when investors have lower reserves and thus higher marginal utility). The liquidity premium is higher if agents are more risk-averse, and is higher if the liquid asset supply is smaller. We discuss the relevance of this result when one reconciles between market holding horizons and market liquidity premia.
Book Synopsis Liquidation Shocks and Transaction Costs by : Bong-Gyu Jang
Download or read book Liquidation Shocks and Transaction Costs written by Bong-Gyu Jang and published by . This book was released on 2015 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates an Epstein-Zin type investors' optimal consumption and portfolio choice problem in the presence of transaction costs and liquidation shocks. We model the liquidation shocks as a Poisson process, which enforces the representative investors to liquidate their wealth in an illiquid asset. We calculate an average liquidity premium to transaction cost ratio with the steady state distribution and show that the liquidation shocks can significantly amplify the effect of the transaction costs on the excess rate of return of the illiquid asset. Our further numerical analysis also demonstrates how the level of elasticity of intertemporal substitution, as well as relative risk aversion, affects the investors' optimal trading behavior.
Book Synopsis Pricing Liquidity Risk with Heterogeneous Investment Horizons by : Alessandro Beber
Download or read book Pricing Liquidity Risk with Heterogeneous Investment Horizons written by Alessandro Beber and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a liquidity-based asset pricing model featuring investors with heterogeneous investment horizons and stochastic transaction costs. In an equilibrium where all investors invest in all assets (integration), we find that the existence of investors with heterogeneous horizons, as opposed to homogeneous horizons, reduces the importance of liquidity risk relative to the standard CAPM market risk and generates a more complex effect of expected liquidity. In an equilibrium where short-term investors do not invest in some more illiquid assets (partial segmentation), our model generates an additional segmentation premium for these assets. We estimate the model for the cross-section of U.S. stocks using GMM and find that our heterogeneous-horizon asset pricing model fares better than a standard liquidity-adjusted CAPM. The segmented version of our model delivers the best cross-sectional fit and generates a substantial effect of expected liquidity on expected returns.
Download or read book Frontier written by Gavin Serkin and published by John Wiley & Sons. This book was released on 2015-04-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get ahead of emerging markets with top-performer picks for up-and-comers Frontier helps investors successfully navigate markets that are yet to “emerge,” with expert advice on spotting opportunities and minimising risks. With first-hand insights into frontier markets as we travel with big-name fund managers from Mark Mobius to Morgan Stanley, this practical guide ranks countries, stocks and bonds on a five- to ten-year horizon to steer investors toward the most promising destinations. Written in a compelling and accessible travelogue narrative, each chapter covers a specific country, providing invaluable market analysis and a deep understanding of the political, economic, and social background of those most likely to outperform. The key focus is on fresh ideas, based on the assessments from top performing money managers when meeting challenges, hostilities or adversity, and observations after interviewing high-level government officials and executives. With advanced economies shackled by debt and sluggish growth, investors are increasingly turning to emerging markets for better returns. Yet the money managers who came out on top in China, India, and Brazil are now focusing their attention on markets that have not yet emerged. This book applies the perspective of ten of the most successful fund managers in their field, providing an unparalleled guide to assessing investment potential in places better known for conflict, poverty and corruption. · Discover which markets have the best prospects, and which are potential disasters · Analyse individual markets by metrics including macro data, global relative value comparisons of stocks and bonds, buy/ sell triggers, and more · Learn which industries, stocks and bonds should be considered in each market · Examine each country through real-life on-the-ground assessment of corruption, conflict and other risks as well as inspirational breakthroughs that signal opportunities This is a practical manual for all investors - whether students or professionals - wanting to get to know the most promising new markets while avoiding the pitfalls. A must-read for corporate executives seeking global capital, Frontier provides a better understanding of the changing international investment dynamic. Robin Wigglesworth, FT: “Invaluable.” Mark Mobius, Templeton: “I love it! Beautiful descriptive writing.” Aliko Dangote, Wealthiest African: “Captivating tales, masterly woven.”
