Essays about: "Liquidity and Illiquidity premiums"

Found 2 essays containing the words Liquidity and Illiquidity premiums.

  1. 1. Illiquidity – Measures and Effects. An empirical Analysis of the Nordic Corporate Bond Markets

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Engberg; Claes Furthmüller; [2014-07-23]
    Keywords : ;

    Abstract : We set out to investigate the microstructure of the Nordic corporate bond markets, especially examining bond illiquidity. The aim was to estimate liquidity premiums on excess yield and determining the most suitable illiquidity measure. This was done through panel data analysis consisting of 1231 bonds within the Nordic markets. READ MORE

  3. 2. Does more trade equal less return - Applied on the Swedish stock market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Pontus Persson; Semir Pavlica; [2012]
    Keywords : Liquidity and Illiquidity premiums; Fama MacBeth; Fama-French; Swedish stock exchange; CAPM.; Business and Economics;

    Abstract : The main purposes in this master´s thesis are to examine the effect of liquidity on stock returns but also measuring the return premium in relation to liquidity towards the Swedish stock exchange market. In order to test these relationships the Fama and MacBeth (1997) Cross-sectional methodology have been applied. READ MORE