Empirical Asset Pricing

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:

• Liquidity risk premia and their variation across market regimes
• The effects of transaction costs, bid-ask spreads, and market depth on expected returns
• Microstructure noise and its implications for high-frequency price discovery
• Empirical tests of classic and modern asset pricing models under frictional conditions
• The interaction between funding liquidity, market liquidity, and systemic risk
• Advanced econometric techniques for measuring illiquidity and information asymmetry

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.