Essays about: "liquidity factor"

Showing result 1 - 5 of 36 essays containing the words liquidity factor.

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. Fight or Flight: How stock market crashes affect private investors’ portfolio diversification in Sweden

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : Ludvig Löfqvist; Erik Åhlstad; [2023]
   Keywords : Investment behavior; Diversification; Stock market crash; Demographic factors;

   Abstract : Background: Stock ownership has been increasing in Sweden, with 2,7 million individual owners in 2022, up from 2,1 million in 2018. A trend shows that younger individuals are becoming more involved in stock ownership, while those over 40 are decreasing in numbers. READ MORE

4. 3. Trends in the Capital Structure and Risk Assessment of Swedish Real Estate Companies : A Study on the Impact of the 2022-2023 Shift in Interest Rates

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Karolina Landgärds; Hanna Lövgren; [2023]
   Keywords : Real estate; Capital structure; Financial risk; Interest rate risk; Fastigheter; Kapitalstruktur; Finansiell risk; Ränterisk;

   Abstract : This study aims to analyse the changes in the capital structure of Swedish real estate companies over the past five years, with a particular focus on the period 2022-2023, characterised by the policy interest rate increasing from zero to 3.5 percent. READ MORE

5. 4. Mandated Short Selling Transparency and its Impact : An empirical analysis on significant short selling disclosures and their impact on Swedish small cap securities between 2017 - 2022

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : William Florin; William Jonnerberg; Rasmus Strandberg; [2023]
   Keywords : short selling disclosures; ESMA;

   Abstract : In this paper, the impact of significant short selling disclosures (> 0.5%) on returns and trading activity is studied. READ MORE

6. 5. Liquidity and its effect on asset returns

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
   Keywords : Asset-pricing; illiquidity premium; liquidity factor;

   Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE