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Empirical Asset Pricing: Liquidity, Friction, and Price Discovery

Empirical Asset Pricing: Liquidity, Friction, and Price Discovery

Paperback

Investing & Finance

ISBN13: 9798182488358
Publisher: Independently Published
Published: Jun 20 2026
Pages: 426
Weight: 1.13
Height: 1.06 Width: 6.00 Depth: 9.00
Language: English
Reactive Publishing

Empirical Asset Pricing: Liquidity, Friction, and Price Discovery offers a rigorous examination of how liquidity, market frictions, and price discovery mechanisms shape asset returns and market efficiency.

Drawing on empirical methods and large-scale financial datasets, this book investigates the central role of liquidity as a priced risk factor, the impact of trading frictions on price formation, and the real-world dynamics of information incorporation into asset prices. It bridges theoretical asset pricing models with observable market phenomena, providing clear empirical frameworks and practical insights for researchers and advanced practitioners.

Also from

Schwartz, Alice

Also in

Investing & Finance