Essays about: "Exposure to illiquidity"

Found 5 essays containing the words Exposure to illiquidity.

  1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

    University essay from Göteborgs universitet/Graduate School

    Author : Jakob Häger; Tim Hansson; [2023-06-29]
    Keywords : Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

    Abstract : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. READ MORE

  3. 2. GP stakes in Private Equity: An Empirical Analysis of Minority Stakes in Private Equity Firms

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jonatan Gustafsson; Erik Fogelström; [2020]
    Keywords : GP Stakes; Minority Stakes; Private Equity; Agency Conflicts; Difference-in-Differences;

    Abstract : This study examines the phenomenon of minority stakes in Private Equity firms ("GP stakes") and specifically the motives behind such deals and their fund-level impact on target firms. We use a unique dataset on GP stake deals between 1988-2020 to empirically analyze the motivations behind GP stakes using logit regressions and their fund level impact using a Difference-in- Differences (DiD) approach with fixed effects. READ MORE

  4. 3. True risk of illiquid investments

    University essay from KTH/Matematik (Inst.)

    Author : Harald Agering; [2018]
    Keywords : ;

    Abstract : Alternative assets are becoming a considerable portion of global financial markets. Some of these alternative assets are highly illiquid, and as such they may require more intricate methods for calculating risk and performance statistics accurately. READ MORE

  5. 4. The exposure to illiquidity of stocks - a study of the determinants with a focus on the 2007-2009 financial crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Patrik Tran; Gustav Österberg; [2014]
    Keywords : Illiquidity; Exposure to illiquidity; Financial crisis; Flight to quality; Flight to liquidity;

    Abstract : This paper investigates the determinants of stocks' exposure to illiquidity in the US stock market. The periods that are examined are the financial crisis of 2007-2009 and the non-crisis period of 2005-2007. READ MORE

  6. 5. Macroeconomic Forces and Their Effects on the Swedish Banking Sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oscar Larsson; Marcus Johansson Prakt; [2013-03-20]
    Keywords : ;

    Abstract : After the bankruptcy of Lehman Brothers in September 2008 international capital markets trembled of uncertainty and investors did not know where the markets were heading. The market turmoil also had an impact on Sweden and especially on the banking sector due to the interdependence of international financial markets. READ MORE