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Presidential Address: Liquidity and Price Discovery
Abstract
This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information‐based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects.
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Citations
Cited by
Costs of Equity and Earnings Attributes
Francis, J., LaFond, R., Olsson, P. M., & Schipper, K. (2004) · The Accounting Review · doi:10.2308/accr.2004.79.4.967 · Cited by 2,377
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Business sustainability performance and cost of equity capital
Ng, A. C., & Rezaee, Z. (2015) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2015.08.003 · Cited by 650
Conference calls and information asymmetry
Brown, S., Hillegeist, S. A., & Lo, K. (2004) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2004.02.001 · Cited by 482
Fund Manager Use of Public Information: New Evidence on Managerial Skills
KACPERCZYK, M., & SERU, A. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01215.x · Cited by 438
Metadata
- Authors
- O'Hara, M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2003-07-15
- Volume
- 58
- Issue
- 4
- Pages
- 1335-1354
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2095044980
- Cited by
- 652
- References
- 0
- FWCI
- 43.06
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
