This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Introduction Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen; Part I. Liquidity: The Effect of Trading Costs on Securities Prices and Returns: 1. Asset pricing and the bid-ask spread Yakov Amihud and Haim Mendelson; 2. Liquidity, maturity, and the yield on US Treasury securities Yakov Amihud and Haim Mendelson; 3. Market microstructure and securities values: evidence from the Tel Aviv stock exchange Yakov Amihud, Haim Mendelson and Beni Lauterbach; Part II. Liquidity Risk: 4. Illiquidity and stock returns: cross-section and time-series effects Yakov Amihud; 5. Asset pricing with liquidity risk Viral V. Acharya and Lasse Heje Pedersen; Part III. Liquidity Crises: 6. Market liquidity and funding liquidity Markus Brunnermeier and Lasse Heje Pedersen; 7. Liquidity and the 1987 stock market crash Yakov Amihud, Haim Mendelson and Robert A. Wood; 8. Slow moving capital Mark Mitchell, Lasse Heje Pedersen and Todd Pulvino.