Essays about: "Joel Ejdesjö"

Found 2 essays containing the words Joel Ejdesjö.

  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. Examining the Existence of the Financial Distress Risk Anomaly: Evidence from the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Maxime Rundström; Joel Ejdesjö; [2020]
    Keywords : Financial distress risk anomaly; risk-sorted portfolios; Distance-to-Default; Fama-French five-factor model;

    Abstract : This paper examines the relationship between financial distress risk, estimated from a firm's distance-to-default, and equity returns on a sample of U.S. stocks between January 1990 and December 2019. READ MORE