Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing

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John Wiley & Sons, Jan 9, 2008 - Business & Economics - 475 pages
A detailed look at the real role of liquidity in today's stock market 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. Francois-Serge L'habitant, PhD (London, UK) is the Chief Investment Officer at Kedge Capital. He is also the author or coauthor of several books published by Wiley, including Handbook of Hedge Funds (978-0-470-02663-2). Greg N. Gregoriou, PhD (Plattsburgh, NY) is Professor of Finance in the School of Business and Economics at State University of New York (Plattsburgh). He is also the author or coauthor of several Wiley titles, including Evaluating Hedge Fund and CTA Performance (978-0-471-68185-4).
 

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Contents

CHAPTER 2
23
CHAPTER 3
43
CHAPTER 4
59
CHAPTER 5
67
CHAPTER 6
77
CHAPTER 16
93
CHAPTER 7
95
PART
115
CHAPTER 13
247
CHAPTER 14
267
CHAPTER 15
287
PART THREE
309
CHAPTER 18
327
CHAPTER 19
349
CHAPTER 21
387
CHAPTER 22
407

CHAPTER 9
149
CHAPTER 10
173
CHAPTER 11
199
CHAPTER 12
227
Notes
445
Index
461
Copyright

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About the author (2008)

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 the 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.

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