Angielski
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.
Key areas explored include:
Written for quantitative researchers, finance PhD students, asset managers, and market microstructure specialists, this work emphasizes methodological rigor, reproducible findings, and the practical challenges of implementing empirical strategies in real market environments.
Whether you are developing new pricing models, refining trading strategies, or seeking a deeper understanding of how frictions influence observed returns, Empirical Asset Pricing: Liquidity, Friction, and Price Discovery delivers a focused, technically grounded resource for modern financial research.
