Essays about: "Bid-ask Spread"

Showing result 21 - 25 of 45 essays containing the words Bid-ask Spread.

  1. 21. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 22. Do stock-level liquidity shocks predict stock returns? - Evidence from the Swedish stock market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kristoffer Nilsson; [2016]
    Keywords : stock-level liquidity shocks; liquidity; bid-ask spread; liquidity premium; Business and Economics;

    Abstract : Adopting a methodology similar to Bali, Peng, Shen and Tang (2014), this essay investigates whether stock-level liquidity shocks predict future returns on the Swedish stock market. Liquidity is measured by the relative bid-ask spread. READ MORE

  4. 23. The Impact of Liquidity on Bond Pricing - A study comparing municipal bonds and government bonds in the Swedish market

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Rakel Saldeen; Jakob Saxby; [2016]
    Keywords : Bond liquidity; Bond pricing; Yield spread; Liquidity premium; Municipal bonds;

    Abstract : In this study, we find that liquidity impacts bond pricing in the Swedish market. Specifically, we investigate the impact of liquidity by examining the yield spread between two bonds that generally differ in liquidity: Swedish municipal bonds issued by Kommuninvest and Swedish government bonds. READ MORE

  5. 24. Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Fritjof Kjell; [2015]
    Keywords : Tick size; Public limit order book; bid-ask spread; depth; trade volume; liquidity;

    Abstract : The tick size of a security has acted as powerful tool for regulators to improve market quality, encourage trade, and create fair competition in trading venues. As a result, The Federation of European Securities Exchange (FESE) has long been concerned with finding an optimal tick size regime to implement across exchanges in Europe. READ MORE

  6. 25. Firm Level Factors Affecting Liquidity – The Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jose Pagoada; Kim Jonsson; [2015]
    Keywords : Liquidity; Illiquidity; Amihud measure; Bid Ask Spread; Turnover; Liquidity Premium; LCAPM; Business and Economics;

    Abstract : Purpose: The purpose of this study is to further look at which firm-adjustable factors affect the liquidity of a firm's stock in the Swedish stock market. We also want to determine which out of these suggested factors have a significant effect on liquidity across different proxies of liquidity. READ MORE