Essays about: "Illiquidity measurement"

Found 2 essays containing the words Illiquidity measurement.

1. 1. Illiquidity and Stock Returns: Evidence from the 2007-2016 Period on the Stockholm Stock Exchange

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Risberg; Maximilian Linder; [2019]
   Keywords : Illiquidity; Bid-Ask Spread; Asset Pricing; Stockholm Stock Exchange;

   Abstract : In this thesis, we study whether stock specific liquidity help explain stock return variations on the Stockholm Stock Exchange in Sweden over the years 2007-2016 by regressing excess stock return on liquidity, market excess returns, size and value variables. Furthermore, we investigate whether illiquidity premia have differed during the global financial crisis of 2007-2008, compared to four following two-year periods. READ MORE

3. 2. Liquidity and stock returns: Evidence form Kazakhstan stock market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Temirlan Izmailov; [2019]
   Keywords : Market liquidity; Illiquidity measurement; Stock returns; Exchange rate regime; Global CAPM;

   Abstract : A lot of well-known theorems and asset pricing models are derived from analysis of developed stock exchanges under conditions of absence of transaction costs. Thus, a lot of attention has been given to transaction cost effects on stock return, especially after the financial crisis of 2008. READ MORE