The Liquidity Theory of Asset Prices
(Sprache: Englisch)
Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets.
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Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets.
Klappentext zu „The Liquidity Theory of Asset Prices “
For at least the last decade, there has been a growing sense of frustration among market professionals with the attempts by academics to account for the behaviour of financial markets. Very experienced practical people have become highly critical of traditional teaching in universities which is grounded in the so-called Efficient Markets Hypothesis.In this stimulating new book, the authors bridge the gap between academic and practical experience by advancing the liquidity theory of asset prices. For many investment managers, liquidity is a crucial subject to which academics have paid too little attention. The book demonstrates that knowledge of liquidity is vital for understanding markets. For academics who have not been thoroughly exposed to working in financial markets, the liquidity theory of asset prices will add to the explanatory power of the Efficient Markets Hypothesis.
The liquidity theory of asset prices explains that an investment transaction often takes place because someone either has cash to invest or needs to raise cash. In the economy as a whole the difference between the amount of cash waiting to be invested and the need to raise cash can be substantial; moreover, an imbalance can persist for many months. Markets react accordingly, going up or down as the case may be. When a market is rising, people become optimistic, and pessimistic when a market is falling. If a trend continues investors start acting as in a crowd. Crowd psychology becomes important. Booms and busts follow.
An understanding of these forces is important not only for investors but also for industrialist and governments. This book is the only practical explanation of the liquidity theory of asset prices currently available and the text has been enhanced by its use on MBA and Continuous Professional Development courses. It is guaranteed to go a long way to remedying an embarrassing lack of understanding of an economic force which has moved to the centre
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stage of financial market understanding.
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Inhaltsverzeichnis zu „The Liquidity Theory of Asset Prices “
PART I: THE LIQUIDITY THEORY.1 Types of Trades in Securities.
1.1 Liquidity trades and portfolio trades.
1.2 Information trades and price trades.
1.3 'Efficient prices'.
1.4 Expectations of further rises or falls.
2 Persistent Liquidity Trades.
2.1 Demand for money.
2.2 Supply of money.
2.3 Monetary imbalances.
2.4 Excess money in the economy.
2.5 Summary.
3 Extrapolative Expectations.
3.1 Sentiment.
3.2 Intuition.
3.3 Decision-taking inertia.
3.4 Crowds.
3.5 Fundamental and monetary forces in the same direction.
4 Discounting Liquidity Transactions.
4.1 Speculation.
4.2 Timing.
4.3 Short-term risk versus profits in the longer term.
Appendix: Speculation and market patterns.
5 Cyclical Changes Associated with Business Cycles.
5.1 Introduction.
5.2 Direct and indirect effects of money on asset prices.
5.3 Strategy.
5.4 Timing.
5.5 Sequences.
5.6 Triggers.
6 Shifts in the Savings Demand for Money.
6.1 The peak of a business cycle.
6.2 Running down bank deposits.
Appendix 6A: Some bond arithmetic.
Appendix 6B: Government bond markets.
PART II: FINANCIAL BUBBLES AND DEBT DEFLATION.
7 Financial Bubbles.
7.1 Detection of a bubble.
7.2 Phases.
7.3 Crosschecks.
8 Debt Deflation.
8.1 The cure for debt deflation.
Appendix: Ignorance of Irving Fisher's prescription.
PART III: ELABORATION.
9 Creation of Printing-press Money.
9.1 The UK in more detail.
9.2 Four policies.
10 Control of Fountain-pen Money and the Counterparts of Broad Money.
10.1 Control of bank lending.
10.2 Bank capital.
10.3 The UK in more detail.
10.4 The 'counterparts' of changes in broad money.
10.5 Relationship between the counterparts.
11 Modern Portfolio Theory and the Nature of Risk.
11.1 Summary.
11.2 Expected yield.
11.3 Risk.
11.4 Exploiting skewness.
12 Technical Analysis and Crowds.
12.1 Trends and trading ranges.
12.2 Crowd behaviour.
12.3 Information.
12.4 Trends and momentum.
12.5 Approaching a turning
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point.
12.6 Turning points.
12.7 Further reading.
13 The Intuitive Approach to Asset Prices.
13.1 Intuition that is a reflection of monetary forces.
13.2 Intuition that is not a reflection of monetary forces.
13.3 Forced selling.
14 Forms of Analysis.
14.1 Different languages.
14.2 Macroeconomic models.
14.3 Disequilibrium.
14.4 Intended and actual transactions.
14.5 Accounting identities.
Appendix: Direct Estimates of Supply and Demand for Credit in the US.
PART IV: EVIDENCE AND PRACTICAL EXAMPLES.
15 The UK Markets Prior to 1972.
15.1 UK money supply and a combined capital market price index, 1950-72.
15.2 UK money supply and the equity market, 1927-72.
16 The US Equity Market 1960-2002.
17 Two Forecasts.
17.1 Health warning.
17.2 Prediction of the October 1987 crash.
17.3 Prediction of the top of the US equity market in April/May 2000.
17.4 Postscript.
18 Debt Deflation, Practical Experience.
18.1 The US in the 1930s.
18.2 Japan in the 1990s and early 2000s.
PART V MONITORING DATA.
19 Monitoring Current Data for the Monetary Aggregates.
19.1 Erratic data.
19.2 Which aggregate?
19.3 A target aggregate.
19.4 An expert approach.
19.5 Timing of the availability of data.
19.6 Understanding the current behaviour of the market.
Appendix 19A: Monetary targets in the UK.
Appendix 19B: Distortions to monetary data in the UK.
Appendix 19C: Velocity of circulation.
20 Monitoring Data for the Supply of Money.
20.1 Printing-press money.
20.2 Fountain-pen money.
20.3 The counterparts of broad money.
20.4 Forecasts.
20.5 Management information.
20.6 Discernible trends.
20.7 The public sector's borrowing in foreign currency and from abroad.
21 The Different Sectors of the Economy.
Conclusions.
Glossary.
References.
Index.
12.6 Turning points.
12.7 Further reading.
13 The Intuitive Approach to Asset Prices.
13.1 Intuition that is a reflection of monetary forces.
13.2 Intuition that is not a reflection of monetary forces.
13.3 Forced selling.
14 Forms of Analysis.
14.1 Different languages.
14.2 Macroeconomic models.
14.3 Disequilibrium.
14.4 Intended and actual transactions.
14.5 Accounting identities.
Appendix: Direct Estimates of Supply and Demand for Credit in the US.
PART IV: EVIDENCE AND PRACTICAL EXAMPLES.
15 The UK Markets Prior to 1972.
15.1 UK money supply and a combined capital market price index, 1950-72.
15.2 UK money supply and the equity market, 1927-72.
16 The US Equity Market 1960-2002.
17 Two Forecasts.
17.1 Health warning.
17.2 Prediction of the October 1987 crash.
17.3 Prediction of the top of the US equity market in April/May 2000.
17.4 Postscript.
18 Debt Deflation, Practical Experience.
18.1 The US in the 1930s.
18.2 Japan in the 1990s and early 2000s.
PART V MONITORING DATA.
19 Monitoring Current Data for the Monetary Aggregates.
19.1 Erratic data.
19.2 Which aggregate?
19.3 A target aggregate.
19.4 An expert approach.
19.5 Timing of the availability of data.
19.6 Understanding the current behaviour of the market.
Appendix 19A: Monetary targets in the UK.
Appendix 19B: Distortions to monetary data in the UK.
Appendix 19C: Velocity of circulation.
20 Monitoring Data for the Supply of Money.
20.1 Printing-press money.
20.2 Fountain-pen money.
20.3 The counterparts of broad money.
20.4 Forecasts.
20.5 Management information.
20.6 Discernible trends.
20.7 The public sector's borrowing in foreign currency and from abroad.
21 The Different Sectors of the Economy.
Conclusions.
Glossary.
References.
Index.
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Autoren-Porträt von Gordon Pepper, Michael Oliver
Gordon Pepper has the unusual combination of an economics degree from Cambridge and actuarial training. Immediately after he finished taking examinations, he became a dealer on the Floor of the London Stock Exchange. His 'postgraduate university' was the market place, where he underwent the harshest of disciplines. Forecasts based on conventional theories were often wrong. The inescapable conclusion was that these theories were either incorrect or incomplete.Pepper was the joint founder of W. Greenwell & Co's gilt-edged business (that is, the UK government bond business), which arguably became one of the leading bond-advisory businesses in the world, the advice being about both the best investments and the optimum way to execute business. For more than ten years he was the premier analyst in the gilt-edged market and was often described as the guru of that market. He was the principal author of Greenwell's Monetary Bulletin, which, in the 1970s, became one of the most widely read monetary publications produced in the United Kingdom.
Pepper is the author of three books and the co-author of a fourth: Money, Credit and Inflation (1990), Money, Credit and Asset Prices (1994), Inside Thatcher's Monetarist Revolution (1998), and (with Michael Oliver) Monetarism under Thatcher - Lessons for the Future (2001). He is also chairman of Lombard Street Research Ltd, which is one of the UK's leading independent firms carrying out investment research and specialising in analysis of money, credit and flows of funds. Summarising, Pepper's particular strength is the combination of practitioner and academic. Above all, he writes with great authority from his knowledge of what actually happens in the marketplace.
Michael J. Oliver is currently Professor of Economics at École Supérieure de Commerce de Rennes and a director of Lombard Street Associates, UK.
He graduated in economic history at the University of Leicester and was awarded his PhD in economics and economic
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history from Manchester Metropolitan University. He has held posts at the universities of the West of England, Leeds, Sunderland and has been a Visiting Professor at Gettysburg College, Pennsylvania and Colby College, Maine.
He is the author of several books, including Whatever Happened To Monetarism? Economic Policy-making and Social Learning in the United Kingdom Since 1979 (1997); Exchange Rate Regimes in the Twentieth Century (with Derek Aldcroft, 1998) and Monetarism under Thatcher - Lessons for the Future (with Gordon Pepper, 2001). He has just finished co-editing a book (with Derek Aldcroft) entitled Economic Disaster of the Twentieth Century, which is being published by Edward Elgar in 2006. He has contributed articles to Economic History Review, Twentieth Century British History, Economic Affairs, Contemporary British History, Economic Review and Essays in Economic and Business History.
He is the author of several books, including Whatever Happened To Monetarism? Economic Policy-making and Social Learning in the United Kingdom Since 1979 (1997); Exchange Rate Regimes in the Twentieth Century (with Derek Aldcroft, 1998) and Monetarism under Thatcher - Lessons for the Future (with Gordon Pepper, 2001). He has just finished co-editing a book (with Derek Aldcroft) entitled Economic Disaster of the Twentieth Century, which is being published by Edward Elgar in 2006. He has contributed articles to Economic History Review, Twentieth Century British History, Economic Affairs, Contemporary British History, Economic Review and Essays in Economic and Business History.
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Bibliographische Angaben
- Autoren: Gordon Pepper , Michael Oliver
- 2006, 1. Auflage, 184 Seiten, Maße: 15,7 x 23,5 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470027398
- ISBN-13: 9780470027394
- Erscheinungsdatum: 09.05.2006
Sprache:
Englisch
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