Essays about: "Characteristic liquidity premium"

Found 3 essays containing the words Characteristic liquidity premium.

  1. 1. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
    Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

    Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

  3. 2. Alterations in the Liquidity Premium as an Effect of Exchange Traded Funds : A Study Performed on Nasdaq Composite between 1997 and 2016

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Axel Andersson; Emanuel Svanberg; [2018]
    Keywords : Liquidity Premium; Characteristic Liquidity; Systematic Liquidity; Indexation; Exchange Traded Funds; Fama-MacBeth Regression;

    Abstract : Investors have historically demanded a return premium for taking on the risk of illiquidity both in terms of characteristic and systematic liquidity risk. Recent research have presented results suggesting that the liquidity premium is diminishing. READ MORE

  4. 3. Asset-Specific and Systematic Liquidity on the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tetiana Dzhumurat; Veronika Lunina; [2010]
    Keywords : systematic liquidity; characteristic liquidity; asset pricing; Fama-French model; Business and Economics;

    Abstract : This essay studies the effect of liquidity on stock returns on the Swedish stock market. Liquidity is addressed both as a market risk factor and an asset characteristics. We use the relative bid-ask spread as a proxy for liquidity level. READ MORE